Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 21.0 +10.7%
- Euro/Yen Carry Return Index 133.95 +.02%
- Emerging Markets Currency Volatility(VXY) 10.08 +.20%
- S&P 500 Implied Correlation 44.04 +6.5%
- ISE Sentiment Index 86.0 -40.3%
- Total Put/Call .92 -1.08%
- NYSE Arms .79 -13.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 75.70 +2.2%
- America Energy Sector High-Yield CDS Index 665.0 +1.28%
- European Financial Sector CDS Index 102.33 +2.49%
- Italian/German 10Y Yld Spread 322.5 +10.0 basis points
- Asia Pacific Sovereign Debt CDS Index 10.26 +1.28%
- Emerging Market CDS Index 208.0 +2.97%
- iBoxx Offshore RMB China Corporate High Yield Index 146.67 -.06%
- 2-Year Swap Spread 19.25 -.75 basis point
- TED Spread 30.75 +4.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -31.0 +4.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.36 +.06%
- 3-Month T-Bill Yield 2.35% unch.
- Yield Curve 27.25 +.75 basis point
- China Iron Ore Spot 72.39 USD/Metric Tonne -.29%
- Citi US Economic Surprise Index 8.80 -5.2 points
- Citi Eurozone Economic Surprise Index -55.10 +.4 point
- Citi Emerging Markets Economic Surprise Index -9.20 unch.
- 10-Year TIPS Spread 2.0 -3.0 basis points
- 69.6% chance of Fed rate hike at Jan. 30th meeting, 85.8% chance at March 20th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -216 open in Japan
- China A50 Futures: Indicating -72 open in China
- DAX Futures: Indicating -23 open in Germany
Portfolio:
- Lower: On losses in my biotech/medical/tech/industrial/retail sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 25% Net Long
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