Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Most Sectors Declining
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.2 +2.7%
- Euro/Yen Carry Return Index 124.83 unch.
- Emerging Markets Currency Volatility(VXY) 7.23 +.84%
- S&P 500 Implied Correlation 43.42 -1.3%
- ISE Sentiment Index 85.0 -10
- Total Put/Call 1.02 -5.6%
- NYSE Arms .87 -34.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 52.98 +1.99%
- America Energy Sector High-Yield CDS Index 576.0 +4.78%
- European Financial Sector CDS Index 59.77 +1.04%
- Italian/German 10Y Yld Spread 154.75 -3.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 65.50 +2.3%
- Emerging Market CDS Index 205.47 +1.03%
- iBoxx Offshore RMB China Corporate High Yield Index 167.73 -.09%
- 2-Year Swap Spread -1.0 unch.
- TED Spread 34.0 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -13.25 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.51 -.18%
- 3-Month T-Bill Yield 1.56% +1.0 basis point
- Yield Curve .17 -2.0 basis points
- China Iron Ore Spot 82.90 USD/Metric Tonne -1.05%
- Citi US Economic Surprise Index -1.1 +.3 basis point
- Citi Eurozone Economic Surprise Index -15.90 +.4 point
- Citi Emerging Markets Economic Surprise Index -26.90 +.4 basis point
- 10-Year TIPS Spread 1.62 -2.0 basis points
- 22.9% chance of Fed rate cut at Jan. 29th meeting, 40.1% chance of cut at March 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -18 open in Japan
- China A50 Futures: Indicating -35 open in China
- DAX Futures: Indicating -29 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech sector longs and index hedges
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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