Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Mixed
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 10.85 -5.07%
- Euro/Yen Carry Return Index 139.12 unch.
- Emerging Markets Currency Volatility(VXY) 7.93 +.25%
- S&P 500 Implied Correlation 36.22 -5.21%
- ISE Sentiment Index 136.0 +23.6%
- Total Put/Call .80 +3.9%
- NYSE Arms .75 -6.66%
Credit Investor Angst:
- North American Investment Grade CDS Index 51.44 -1.84%
- America Energy Sector High-Yield CDS Index 365.0 -1.26%
- European Financial Sector CDS Index 46.15 -1.55%
- Western Europe Sovereign Debt CDS Index 3.45 -.86%
- Asia Pacific Sovereign Debt CDS Index 13.98 +1.38%
- Emerging Market CDS Index 178.08 -1.57%
- iBoxx Offshore RMB China Corporate High Yield Index 145.71 +.08%
- 2-Year Swap Spread 18.0 -.25 basis point
- TED Spread 22.25 -1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -49.25 -1.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.37 +.25%
- 3-Month T-Bill Yield 1.27% +1.0 basis point
- Yield Curve 57.0 -2.0 basis points
- China Import Iron Ore Spot $72.68/Metric Tonne +3.67%
- Citi US Economic Surprise Index 65.30 +5.2 points
- Citi Eurozone Economic Surprise Index 69.30 -1.0 basis point
- Citi Emerging Markets Economic Surprise Index 1.10 -.7 point
- 10-Year TIPS Spread 1.90 +2.0 bassis point
- 100.0% chance of Fed rate hike at Jan. 31 meeting, 100.0% chance at March 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -32 open in Japan
- China A50 Futures: Indicating -24 open in China
- DAX Futures: Indicating -3 open in Germany
Portfolio:
- Lower: On losses in my tech/medical/biotech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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