Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 23.0 +14.5%
- Euro/Yen Carry Return Index 133.28 -.52%
- Emerging Markets Currency Volatility(VXY) 10.16 +.4%
- S&P 500 Implied Correlation 47.10 +4.3%
- ISE Sentiment Index 69.0 -20.7%
- Total Put/Call .93 -3.1%
- NYSE Arms 1.54 +92.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 78.62 +2.8%
- America Energy Sector High-Yield CDS Index 680.0 +1.86%
- European Financial Sector CDS Index 105.96 +3.55%
- Italian/German 10Y Yld Spread 326.75 +4.25 basis points
- Asia Pacific Sovereign Debt CDS Index 10.70 +4.14%
- Emerging Market CDS Index 217.66 +4.73%
- iBoxx Offshore RMB China Corporate High Yield Index 146.97 +.21%
- 2-Year Swap Spread 19.0 -.25 basis point
- TED Spread 28.0 -2.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -32.75 -1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.05 -.47%
- 3-Month T-Bill Yield 2.38% +3.0 basis points
- Yield Curve 25.25 -2.0 basis points
- China Iron Ore Spot 69.4 USD/Metric Tonne -1.84%
- Citi US Economic Surprise Index 8.90 +.1 point
- Citi Eurozone Economic Surprise Index -55.30 -.2 point
- Citi Emerging Markets Economic Surprise Index -9.70 +.5 point
- 10-Year TIPS Spread 1.98 -2.0 basis points
- 72.0% chance of Fed rate hike at Jan. 30th meeting, 86.9% chance at March 20th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -293 open in Japan
- China A50 Futures: Indicating -135 open in China
- DAX Futures: Indicating -12 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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