Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 9.62 +3.0%
- Euro/Yen Carry Return Index 138.96 -.24%
- Emerging Markets Currency Volatility(VXY) 7.79 -.76%
- S&P 500 Implied Correlation 35.39 -3.5%
- ISE Sentiment Index 144.0 +118.2%
- Total Put/Call .91 +13.75%
- NYSE Arms .76 +5.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 50.28 -.07%
- America Energy Sector High-Yield CDS Index 371.0 -.62%
- European Financial Sector CDS Index 45.49 +.22%
- Western Europe Sovereign Debt CDS Index 3.42 +.29%
- Asia Pacific Sovereign Debt CDS Index 13.85 -1.35%
- Emerging Market CDS Index 177.02 +.02%
- iBoxx Offshore RMB China Corporate High Yield Index 145.81 -.13%
- 2-Year Swap Spread 19.75 +.5 basis point
- TED Spread 22.75 -4.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -64.5 -6.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.83 -.26%
- 3-Month T-Bill Yield 1.32% +3.0 basis points
- Yield Curve 57.5 +1.0 basis point
- China Iron Ore Spot 493.0 CNY/100 Metric Tonnes -.6%
- Citi US Economic Surprise Index 69.0 +5.9 points
- Citi Eurozone Economic Surprise Index 53.90 -1.5 basis points
- Citi Emerging Markets Economic Surprise Index 6.30 -3.2 points
- 10-Year TIPS Spread 1.91 +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 +89 open in Japan
- China A50 Futures: Indicating +10 open in China
- DAX Futures: Indicating -5 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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