Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Heavy
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 20.3 -4.7%
- Euro/Yen Carry Return Index 134.03 +.35%
- Emerging Markets Currency Volatility(VXY) 10.14 +.40%
- S&P 500 Implied Correlation 43.26 +2.12%
- ISE Sentiment Index 94.0 +14.6%
- Total Put/Call 1.07 -13.0%
- NYSE Arms .71 -26.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 73.16 +2.68%
- America Energy Sector High-Yield CDS Index 657.0 +1.64%
- European Financial Sector CDS Index 96.89 +5.97%
- Italian/German 10Y Yld Spread 313.25 +4.0 basis points
- Asia Pacific Sovereign Debt CDS Index 10.05 +.05%
- Emerging Market CDS Index 200.32 +.68%
- iBoxx Offshore RMB China Corporate High Yield Index 146.77 +.16%
- 2-Year Swap Spread 19.75 +.75 basis point
- TED Spread 25.0 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -40.25 +3.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.05 +.73%
- 3-Month T-Bill Yield 2.36% -1.0 basis point
- Yield Curve 25.75 unch.
- China Iron Ore Spot 70.20 USD/Metric Tonne +1.42%
- Citi US Economic Surprise Index 13.0 +2.4 points
- Citi Eurozone Economic Surprise Index -55.80 +.2 point
- Citi Emerging Markets Economic Surprise Index -5.10 unch.
- 10-Year TIPS Spread 2.01 -1.0 basis point
- 72.5% chance of Fed rate hike at Jan. 30th meeting, 90.1% chance at March 20th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +51 open in Japan
- China A50 Futures: Indicating +120 open in China
- DAX Futures: Indicating +52 open in Germany
Portfolio:
- Higher: On gains in my retail/biotech/industrial/medical/tech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
- Market Exposure: Moved to 100% Net Long
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