Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 10.2 +3.0%
- Euro/Yen Carry Return Index 137.62 -.1%
- Emerging Markets Currency Volatility(VXY) 7.82 +.13%
- S&P 500 Implied Correlation 16.28 unch.
- ISE Sentiment Index 125.0 +47.1%
- Total Put/Call .65 -8.45%
- NYSE Arms .61 -40.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 52.58 -1.42%
- America Energy Sector High-Yield CDS Index 374.0 +.97%
- European Financial Sector CDS Index 47.32 -.6%
- Western Europe Sovereign Debt CDS Index 3.66 -3.94%
- Asia Pacific Sovereign Debt CDS Index 13.75 -3.65%
- Emerging Market CDS Index 179.47 -.51%
- iBoxx Offshore RMB China Corporate High Yield Index 145.54 -.07%
- 2-Year Swap Spread 17.25 -.5 basis point
- TED Spread 19.0 -2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -50.5 -4.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.36 -.07%
- 3-Month T-Bill Yield 1.7% +2.0 basis points
- Yield Curve 58.0 -.5 basis point
- China Import Iron Ore Spot $67.76/Metric Tonne +.73%
- Citi US Economic Surprise Index 58.10 +.7 point
- Citi Eurozone Economic Surprise Index 86.30 -.2 basis point
- Citi Emerging Markets Economic Surprise Index 10.70 -.4 point
- 10-Year TIPS Spread 1.86 unch.
- 100.0% chance of Fed rate hike at Jan. 31 meeting, 100.0% chance at March 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +164 open in Japan
- China A50 Futures: Indicating +63 open in China
- DAX Futures: Indicating +67 open in Germany
Portfolio:
- Higher: On gains in my tech/retail/medical sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
No comments:
Post a Comment