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) 23.50 +1.2%
- Euro/Yen Carry Return Index 133.49 +.06%
- Emerging Markets Currency Volatility(VXY) 10.31 +1.88%
- S&P 500 Implied Correlation 47.58 +5.2%
- ISE Sentiment Index 98.0 +15.3%
- Total Put/Call 1.13 -.88%
- NYSE Arms 1.47 -28.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 81.95 +.01%
- America Energy Sector High-Yield CDS Index 679.0 -1.79%
- European Financial Sector CDS Index 111.47 +3.37%
- Italian/German 10Y Yld Spread 286.0 -2.25 basis points
- Asia Pacific Sovereign Debt CDS Index 9.98 +2.15%
- Emerging Market CDS Index 208.19 +.90%
- iBoxx Offshore RMB China Corporate High Yield Index 147.81 -.21%
- 2-Year Swap Spread 12.75 -3.25 basis points
- TED Spread 39.25 +2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -19.0 -3.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.84 -.48%
- 3-Month T-Bill Yield 2.38% -1.0 basis point
- Yield Curve 13.50 -.5 basis point
- China Iron Ore Spot 64.6 USD/Metric Tonne -.28%
- Citi US Economic Surprise Index -6.5 +.9 point
- Citi Eurozone Economic Surprise Index -48.90 +.3 point
- Citi Emerging Markets Economic Surprise Index -6.7 -2.1 points
- 10-Year TIPS Spread 1.87 -3.0 basis points
- 70.9% chance of Fed rate hike at Jan. 30th meeting, 76.8% chance at March 20th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +96 open in Japan
- China A50 Futures: Indicating +36 open in China
- DAX Futures: Indicating +109 open in Germany
Portfolio:
- Higher: On gains in my tech/medical/retail sector longs, index hedges and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
- Market Exposure: Moved to 75% Net Long
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