Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Most Sectors Rising
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.7 +.4%
- Euro/Yen Carry Return Index 125.40 +.15%
- Emerging Markets Currency Volatility(VXY) 7.24 -1.09%
- S&P 500 Implied Correlation 29.33 +1.28%
- ISE Sentiment Index 113.0 +24
- Total Put/Call .65 -31.6%
- NYSE Arms .72 -39.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 51.10 -1.47%
- America Energy Sector High-Yield CDS Index 535.0 +4.6%
- European Financial Sector CDS Index 56.89 -2.06%
- Italian/German 10Y Yld Spread 139.75 +6.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 63.24 -1.04%
- Emerging Market CDS Index 190.78 -1.52%
- iBoxx Offshore RMB China Corporate High Yield Index 167.49 +.08%
- 2-Year Swap Spread 4.25 +.25 basis point
- TED Spread 34.75 -1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -15.75 -3.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.22 +.05%
- 3-Month T-Bill Yield 1.55% unch.
- Yield Curve .21 -2.0 basis points
- China Iron Ore Spot 79.90 USD/Metric Tonne -.51%
- Citi US Economic Surprise Index 7.50 +.4 point
- Citi Eurozone Economic Surprise Index -27.20 +.5 point
- Citi Emerging Markets Economic Surprise Index -23.50 +.2 basis point
- 10-Year TIPS Spread 1.71 +3.0 basis points
- 22.1% chance of Fed rate cut at Jan. 29th meeting, 33.9% chance of cut at March 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +195 open in Japan
- China A50 Futures: Indicating +61 open in China
- DAX Futures: Indicating -23 open in Germany
Portfolio:
- Higher: On gains in my industrial/tech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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