Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 12.7 -3.2%
- Euro/Yen Carry Return Index 124.32 -.31%
- Emerging Markets Currency Volatility(VXY) 7.08 -1.5%
- S&P 500 Implied Correlation 44.7 -3.08%
- ISE Sentiment Index 115.0 +54
- Total Put/Call 1.0 -13.8%
- NYSE Arms .82 +45.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 52.19 -1.36%
- America Energy Sector High-Yield CDS Index 602.0 +2.68%
- European Financial Sector CDS Index 60.13 +2.0%
- Italian/German 10Y Yld Spread 154.0 +3.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 65.97 +.18%
- Emerging Market CDS Index 202.79 -.62%
- iBoxx Offshore RMB China Corporate High Yield Index 167.90 +.09%
- 2-Year Swap Spread -2.5 -.75 basis point
- TED Spread 33.25 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -12.25 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.48 -.16%
- 3-Month T-Bill Yield 1.58% +2.0 basis points
- Yield Curve .15 -2.0 basis points
- China Iron Ore Spot 86.80 USD/Metric Tonne +.4%
- Citi US Economic Surprise Index 3.3 +5.3 basis points
- Citi Eurozone Economic Surprise Index -16.10 -.6 point
- Citi Emerging Markets Economic Surprise Index -28.20 -1.2 basis points
- 10-Year TIPS Spread 1.64 unch.
- 17.3% chance of Fed rate cut at Jan. 29th meeting, 27.8% chance of cut at March 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +48 open in Japan
- China A50 Futures: Indicating +19 open in China
- DAX Futures: Indicating +21 open in Germany
Portfolio:
- Higher: On gains in my biotech/industrial/retail sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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