Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 19.2 -3.8%
- Euro/Yen Carry Return Index 133.80 -.02%
- Emerging Markets Currency Volatility(VXY) 10.07 +.10%
- S&P 500 Implied Correlation 42.83 -3.3%
- ISE Sentiment Index 160.0 +68.4%
- Total Put/Call .91 +7.06%
- NYSE Arms .93 +32.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 74.78 +2.5%
- America Energy Sector High-Yield CDS Index 660.0 +1.03%
- European Financial Sector CDS Index 99.84 +3.04%
- Italian/German 10Y Yld Spread 312.5 -.75 basis point
- Asia Pacific Sovereign Debt CDS Index 10.13 +1.20%
- Emerging Market CDS Index 202.11 +.78%
- iBoxx Offshore RMB China Corporate High Yield Index 146.77 -.01%
- 2-Year Swap Spread 20.0 +.25 basis point
- TED Spread 26.0 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -35.5 +4.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.34 +.50%
- 3-Month T-Bill Yield 2.35% -1.0 basis point
- Yield Curve 26.5 +.75 basis point
- China Iron Ore Spot 72.25 USD/Metric Tonne +.25%
- Citi US Economic Surprise Index 14.0 +1.0 point
- Citi Eurozone Economic Surprise Index -55.50 +.3 point
- Citi Emerging Markets Economic Surprise Index -9.20 -4.1 points
- 10-Year TIPS Spread 2.03 +2.0 basis points
- 71.5% chance of Fed rate hike at Jan. 30th meeting, 88.0% chance at March 20th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +85 open in Japan
- China A50 Futures: Indicating +133 open in China
- DAX Futures: Indicating +11 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/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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