Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 20.55 +2.7%
- Euro/Yen Carry Return Index 133.85 +.19%
- Emerging Markets Currency Volatility(VXY) 10.12 -.30%
- S&P 500 Implied Correlation 42.55 +.05%
- ISE Sentiment Index 77.0 -2.53%
- Total Put/Call 1.24 +26.5%
- NYSE Arms .84 -13.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 71.15 +3.13%
- America Energy Sector High-Yield CDS Index 638.0 +4.68%
- European Financial Sector CDS Index 91.43 +2.72%
- Italian/German 10Y Yld Spread 309.25 +5.5 basis points
- Asia Pacific Sovereign Debt CDS Index 10.04 +2.76%
- Emerging Market CDS Index 198.54 -.29%
- iBoxx Offshore RMB China Corporate High Yield Index 146.53 -1.07%
- 2-Year Swap Spread 19.0 +.5 basis point
- TED Spread 25.25 -3.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -44.5 +3.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.60 +.36%
- 3-Month T-Bill Yield 2.37% +3.0 basis points
- Yield Curve 25.75 +.75 basis point
- China Iron Ore Spot 71.40 USD/Metric Tonne -.46%
- Citi US Economic Surprise Index 10.60 +.2 point
- Citi Eurozone Economic Surprise Index -56.0 -.8 point
- Citi Emerging Markets Economic Surprise Index -5.10 +1.1 points
- 10-Year TIPS Spread 2.02 +1.0 basis point
- 74.6% chance of Fed rate hike at Jan. 30th meeting, 91.1% chance at March 20th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +4 open in Japan
- China A50 Futures: Indicating +41 open in China
- DAX Futures: Indicating +41 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail/biotech sector longs and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
- Market Exposure: Moved to 75% Net Long
No comments:
Post a Comment