Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.7 +10.7%
- Euro/Yen Carry Return Index 124.98 -.79%
- Emerging Markets Currency Volatility(VXY) 7.20 +.56%
- S&P 500 Implied Correlation 33.01 +18.4%
- ISE Sentiment Index 77.0 -16.0
- Total Put/Call 1.12 +16.7%
- NYSE Arms 1.37 +26.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 55.21 +1.58%
- America Energy Sector High-Yield CDS Index 483.0 -.62%
- European Financial Sector CDS Index 59.82 +.62%
- Italian/German 10Y Yld Spread 133.0 -1.5 basis point
- Asia Ex-Japan Investment Grade CDS Index 67.0 +.93%
- Emerging Market CDS Index 198.84 +1.85%
- iBoxx Offshore RMB China Corporate High Yield Index 167.22 +.05%
- 2-Year Swap Spread 3.25 +1.0 basis point
- TED Spread 38.25 +4.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -19.0 -1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.18 -.15%
- 3-Month T-Bill Yield 1.53% -7.0 basis points
- Yield Curve .16 -3.0 basis points
- China Iron Ore Spot 82.78 USD/Metric Tonne +2.3%
- Citi US Economic Surprise Index 4.7 -3.1 points
- Citi Eurozone Economic Surprise Index -43.10 +9.1 points
- Citi Emerging Markets Economic Surprise Index -27.0 -6.2 basis points
- 10-Year TIPS Spread 1.60 -2.0 basis points
- 53.6% chance of Fed rate cut at Jan. 29th meeting, 63.5% chance of cut at March 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -209 open in Japan
- China A50 Futures: Indicating -31 open in China
- DAX Futures: Indicating +1 open in Germany
Portfolio:
- Lower: On losses in my tech/biotech/industrial/retail sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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