Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 18.14 +8.5%
- Euro/Yen Carry Return Index 134.03 -.52%
- Emerging Markets Currency Volatility(VXY) 10.0 +1.01%
- S&P 500 Implied Correlation 40.05 +5.1%
- ISE Sentiment Index 61.0 -31.5%
- Total Put/Call 1.03 +5.1%
- NYSE Arms 1.20 -20.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 66.43 +5.02%
- America Energy Sector High-Yield CDS Index 564.0 +3.54%
- European Financial Sector CDS Index 88.06 +2.14%
- Italian/German 10Y Yld Spread 299.75 +10.75 basis points
- Asia Pacific Sovereign Debt CDS Index 9.54 +.63%
- Emerging Market CDS Index 195.30 +1.66%
- iBoxx Offshore RMB China Corporate High Yield Index 148.32 +.40%
- 2-Year Swap Spread 19.25 -1.25 basis point
- TED Spread 25.75 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -44.75 -3.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.71 -.46%
- 3-Month T-Bill Yield 2.35% unch.
- Yield Curve 26.25 -.5 basis point
- China Iron Ore Spot 72.65 USD/Metric Tonne -1.02%
- Citi US Economic Surprise Index 10.0 +.3 point
- Citi Eurozone Economic Surprise Index -55.8 -6.4 points
- Citi Emerging Markets Economic Surprise Index -6.20 +3.1 points
- 10-Year TIPS Spread 2.05 -3.0 basis points
- 78.1% chance of Fed rate hike at Jan. 30th meeting, 92.8% chance at March 20th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -170 open in Japan
- China A50 Futures: Indicating -95 open in China
- DAX Futures: Indicating -40 open in Germany
Portfolio:
- Slightly Lower: On losses in my medical/biotech/tech/industrial/retail sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 25% Net Long
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