Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 10.43 -5.4%
- Euro/Yen Carry Return Index 138.84 +.56%
- Emerging Markets Currency Volatility(VXY) 8.09 +.25%
- S&P 500 Implied Correlation 37.26 -.37%
- ISE Sentiment Index 189.0 +152.0%
- Total Put/Call .80 unch.
- NYSE Arms .93 -33.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 51.68 -.76%
- America Energy Sector High-Yield CDS Index 372.0 +.50%
- European Financial Sector CDS Index 46.58 -.16%
- Western Europe Sovereign Debt CDS Index 3.60 -.55%
- Asia Pacific Sovereign Debt CDS Index 14.24 +1.06%
- Emerging Market CDS Index 178.87 +.87%
- iBoxx Offshore RMB China Corporate High Yield Index 145.74 +.01%
- 2-Year Swap Spread 19.0 +1.25 basis points
- TED Spread 23.75 +4.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -63.0 -4.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.92 -.32%
- 3-Month T-Bill Yield 1.28% -1.0 basis point
- Yield Curve 56.25 +3.75 basis points
- China Import Iron Ore Spot $72.68/Metric Tonne unch.
- Citi US Economic Surprise Index 63.20 +.3 point
- Citi Eurozone Economic Surprise Index 59.40 -7.6 basis points
- Citi Emerging Markets Economic Surprise Index 2.30 -.1 point
- 10-Year TIPS Spread 1.89 +1.0 basis 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 +167 open in Japan
- China A50 Futures: Indicating +6 open in China
- DAX Futures: Indicating +42 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/retail sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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