Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 18.76 +1.46%
- Euro/Yen Carry Return Index 134.31 -.05%
- Emerging Markets Currency Volatility(VXY) 10.11 +.10%
- S&P 500 Implied Correlation 43.67 -2.57%
- ISE Sentiment Index 155.0 +61.5%
- Total Put/Call .94 +11.9%
- NYSE Arms 1.14 +164.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 73.92 -1.94%
- America Energy Sector High-Yield CDS Index 675.0 -1.66%
- European Financial Sector CDS Index 103.08 +.04%
- Italian/German 10Y Yld Spread 288.25 -2.5 basis points
- Asia Pacific Sovereign Debt CDS Index 10.20 -1.07%
- Emerging Market CDS Index 206.89 -1.06%
- iBoxx Offshore RMB China Corporate High Yield Index 146.64 -.45%
- 2-Year Swap Spread 17.0 -.5 basis point
- TED Spread 33.25 +1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -12.25 +9.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.53 +.51%
- 3-Month T-Bill Yield 2.36% -2.0 basis points
- Yield Curve 21.75 -2.75 basis points
- China Iron Ore Spot 63.35 USD/Metric Tonne +.86%
- Citi US Economic Surprise Index -4.5 +.4 point
- Citi Eurozone Economic Surprise Index -56.60 +6.3 points
- Citi Emerging Markets Economic Surprise Index -6.0 unch.
- 10-Year TIPS Spread 1.99 +4.0 basis points
- 80.0% chance of Fed rate hike at Jan. 30th meeting, 90.0% chance at March 20th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +118 open in Japan
- China A50 Futures: Indicating +120 open in China
- DAX Futures: Indicating +47 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/industrial/tech/medical sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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