Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 21.2 -1.2%
- Euro/Yen Carry Return Index 134.23 +.28%
- Emerging Markets Currency Volatility(VXY) 10.11 -.1%
- S&P 500 Implied Correlation 48.86 -.95%
- ISE Sentiment Index 93.0 +3.33%
- Total Put/Call 1.22 +28.4%
- NYSE Arms .97 +21.25%
Credit Investor Angst:
- North American Investment Grade CDS Index 76.85 -1.93%
- America Energy Sector High-Yield CDS Index 669.0 -3.03%
- European Financial Sector CDS Index 100.12 -2.55%
- Italian/German 10Y Yld Spread 267.25 -5.0 basis points
- Asia Pacific Sovereign Debt CDS Index 9.55 -2.45%
- Emerging Market CDS Index 198.04 -2.07%
- iBoxx Offshore RMB China Corporate High Yield Index 149.60 -.02%
- 2-Year Swap Spread 14.50 +.5 basis point
- TED Spread 36.5 -1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -6.25 +5.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.99 -.12%
- 3-Month T-Bill Yield 2.41% -1.0 basis point
- Yield Curve 15.0 +1.25 basis points
- China Iron Ore Spot 66.83 USD/Metric Tonne +.59%
- Citi US Economic Surprise Index -4.2 +3.1 points
- Citi Eurozone Economic Surprise Index -43.60 +.4 point
- Citi Emerging Markets Economic Surprise Index .7 unch.
- 10-Year TIPS Spread 1.84 unch.
- 75.5% chance of Fed rate hike at Jan. 30th meeting, 84.3% chance at March 20th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -131 open in Japan
- China A50 Futures: Indicating +1 open in China
- DAX Futures: Indicating -32 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech sector longs and index hedges
- Disclosed Trades: None
- Market Exposure: 50% Net Long
No comments:
Post a Comment