Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Most Sectors Rising
- Volume: Aaround Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 12.5 -1.6%
- Euro/Yen Carry Return Index 124.88 -.4%
- Emerging Markets Currency Volatility(VXY) 7.15 unch.
- S&P 500 Implied Correlation 28.9 -9.1%
- ISE Sentiment Index 125.0 +12
- Total Put/Call .95 +46.2%
- NYSE Arms .96 +31.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 51.44 +.12%
- America Energy Sector High-Yield CDS Index 535.0 +.02%
- European Financial Sector CDS Index 57.13 +.42%
- Italian/German 10Y Yld Spread 145.5 +5.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 63.02 -.64%
- Emerging Market CDS Index 193.94 +1.43%
- iBoxx Offshore RMB China Corporate High Yield Index 167.55 +.03%
- 2-Year Swap Spread 4.5 +.25 basis point
- TED Spread 35.5 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -16.25 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.95 -.40%
- 3-Month T-Bill Yield 1.54% -1.0 basis point
- Yield Curve .24 +3.0 basis points
- China Iron Ore Spot 77.80 USD/Metric Tonne -2.31%
- Citi US Economic Surprise Index 7.20 -.3 point
- Citi Eurozone Economic Surprise Index -25.30 +1.9 points
- Citi Emerging Markets Economic Surprise Index -21.40 +2.1 basis points
- 10-Year TIPS Spread 1.73 +2.0 basis points
- 18.6% chance of Fed rate cut at Jan. 29th meeting, 30.9% chance of cut at March 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +78 open in Japan
- China A50 Futures: Indicating +38 open in China
- DAX Futures: Indicating +21 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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