Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 9.65 -5.0%
- Euro/Yen Carry Return Index 139.23 +.34%
- Emerging Markets Currency Volatility(VXY) 7.96 -1.5%
- S&P 500 Implied Correlation 36.82 -.24%
- ISE Sentiment Index 104.0 -25.71%
- Total Put/Call .93 +12.0%
- NYSE Arms .60 -33.42%
Credit Investor Angst:
- North American Investment Grade CDS Index 51.06 -1.16%
- America Energy Sector High-Yield CDS Index 373.0 +.39%
- European Financial Sector CDS Index 46.58 -2.05%
- Western Europe Sovereign Debt CDS Index 3.44 -4.44%
- Asia Pacific Sovereign Debt CDS Index 14.23 -.07%
- Emerging Market CDS Index 176.92 -.96%
- iBoxx Offshore RMB China Corporate High Yield Index 145.89 +.1%
- 2-Year Swap Spread 19.5 +.5 basis point
- TED Spread 26.0 +2.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -60.75 +2.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.99 +.11%
- 3-Month T-Bill Yield 1.28% unch.
- Yield Curve 58.5 +2.25 basis points
- China Iron Ore Spot 502.0 CNY/100 Metric Tonnes +1.93%
- Citi US Economic Surprise Index 65.20 +2.0 points
- Citi Eurozone Economic Surprise Index 60.10 +.7 basis point
- Citi Emerging Markets Economic Surprise Index 8.70 +6.4 points
- 10-Year TIPS Spread 1.90 +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 +84 open in Japan
- China A50 Futures: Indicating +35 open in China
- DAX Futures: Indicating +17 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/retail sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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