Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Mixed
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.4 +10.3%
- Euro/Yen Carry Return Index 138.97 -.46%
- Emerging Markets Currency Volatility(VXY) 7.92 -.75%
- S&P 500 Implied Correlation n/a
- ISE Sentiment Index 115.0 +4.55%
- Total Put/Call .70 -16.67%
- NYSE Arms .69 -16.89%
Credit Investor Angst:
- North American Investment Grade CDS Index 52.74 +.84%
- America Energy Sector High-Yield CDS Index 370.0 -1.74%
- European Financial Sector CDS Index 46.95 +.13%
- Western Europe Sovereign Debt CDS Index 3.48 -.29%
- Asia Pacific Sovereign Debt CDS Index 13.79 +.04%
- Emerging Market CDS Index 181.07 -.06%
- iBoxx Offshore RMB China Corporate High Yield Index 145.60 unch.
- 2-Year Swap Spread 18.25 -.25 basis point
- TED Spread 23.5 +4.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -47.75 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.26 +.05%
- 3-Month T-Bill Yield 1.26% unch.
- Yield Curve 59.0 -3.75 basis points
- China Import Iron Ore Spot $70.11/Metric Tonne +2.91%
- Citi US Economic Surprise Index 60.10 +.7 point
- Citi Eurozone Economic Surprise Index 70.30 -1.0 basis points
- Citi Emerging Markets Economic Surprise Index 1.80 +.2 point
- 10-Year TIPS Spread 1.88 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 -160 open in Japan
- China A50 Futures: Indicating -83 open in China
- DAX Futures: Indicating +81 open in Germany
Portfolio:
- Lower: On losses in my tech/medical/retail sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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