Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Mixed
- Volume: Heavy
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 20.5 +.15%
- Euro/Yen Carry Return Index 133.45 +.49%
- Emerging Markets Currency Volatility(VXY) 10.17 +.59%
- S&P 500 Implied Correlation 42.14 +2.96%
- ISE Sentiment Index 61.0 -4.7%
- Total Put/Call .96 -18.6%
- NYSE Arms .95 -46.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 69.03 +3.28%
- America Energy Sector High-Yield CDS Index 602.0 +1.98%
- European Financial Sector CDS Index 89.0 -1.64%
- Italian/German 10Y Yld Spread 303.75 -.25 basis point
- Asia Pacific Sovereign Debt CDS Index 9.78 +1.40%
- Emerging Market CDS Index 199.17 +3.32%
- iBoxx Offshore RMB China Corporate High Yield Index 148.12 +.28%
- 2-Year Swap Spread 18.50 -.5 basis point
- TED Spread 28.25 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -47.75 +.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.32 -.08%
- 3-Month T-Bill Yield 2.34% unch.
- Yield Curve 25.0 -.75 basis point
- China Iron Ore Spot 69.0 USD/Metric Tonne -.20%
- Citi US Economic Surprise Index 10.40 +.5 point
- Citi Eurozone Economic Surprise Index -55.2 +1.4 points
- Citi Emerging Markets Economic Surprise Index -6.20 -1.8 points
- 10-Year TIPS Spread 2.03 -2.0 basis points
- 75.5% chance of Fed rate hike at Jan. 30th meeting, 91.4% chance at March 20th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -105 open in Japan
- China A50 Futures: Indicating +51 open in China
- DAX Futures: Indicating -68 open in Germany
Portfolio:
- Slightly Lower: On losses in my medical/biotech sector longs and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/QQQ hedges, then added them back
- Market Exposure: 25% Net Long
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