Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.07 -2.29%
- Euro/Yen Carry Return Index 137.96 -.6%
- Emerging Markets Currency Volatility(VXY) 8.03 +.5%
- S&P 500 Implied Correlation 37.49 -.13%
- ISE Sentiment Index 68.0 -38.7%
- Total Put/Call .85 +1.19%
- NYSE Arms 1.30 -15.52%
Credit Investor Angst:
- North American Investment Grade CDS Index 51.97 +.47%
- America Energy Sector High-Yield CDS Index 369.0 +1.15%
- European Financial Sector CDS Index 46.69 +1.53%
- Western Europe Sovereign Debt CDS Index 3.62 +.84%
- Asia Pacific Sovereign Debt CDS Index 14.79 +.08%
- Emerging Market CDS Index 177.76 +1.08%
- iBoxx Offshore RMB China Corporate High Yield Index 145.73 +.02%
- 2-Year Swap Spread 17.75 +.5 basis point
- TED Spread 19.75 -1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -58.5 -5.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.15 -.28%
- 3-Month T-Bill Yield 1.29% -1.0 basis point
- Yield Curve 52.5 -1.5 basis points
- China Import Iron Ore Spot $72.68/Metric Tonne +3.67%
- Citi US Economic Surprise Index 62.90 -.2 point
- Citi Eurozone Economic Surprise Index 67.0 +.6 basis point
- Citi Emerging Markets Economic Surprise Index 2.40 +.6 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 +123 open in Japan
- China A50 Futures: Indicating -33 open in China
- DAX Futures: Indicating +23 open in Germany
Portfolio:
- Higher: On gains in my tech/medical/retail sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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