Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.6 +4.3%
- Euro/Yen Carry Return Index 124.92 +.13%
- Emerging Markets Currency Volatility(VXY) 7.19 -.42%
- S&P 500 Implied Correlation 26.44 unch.
- ISE Sentiment Index 80.0 +1
- Total Put/Call .92 +13.6%
- NYSE Arms 1.20 +122.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 51.12 -.87%
- America Energy Sector High-Yield CDS Index 548.0 -1.64%
- European Financial Sector CDS Index 58.66 -.78%
- Italian/German 10Y Yld Spread 154.50 -13.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 63.72 -1.15%
- Emerging Market CDS Index 200.58 +1.63%
- iBoxx Offshore RMB China Corporate High Yield Index 167.92 +.06%
- 2-Year Swap Spread 1.0 -2.0 basis points
- TED Spread 34.25 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -12.0 +1.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.36 -.03%
- 3-Month T-Bill Yield 1.56% unch.
- Yield Curve .22 -2.0 basis points
- China Iron Ore Spot 83.30 USD/Metric Tonne -.01%
- Citi US Economic Surprise Index -5.7 +.4 basis point
- Citi Eurozone Economic Surprise Index -13.80 -3.1 points
- Citi Emerging Markets Economic Surprise Index -27.20 -1.3 basis points
- 10-Year TIPS Spread 1.65 +1.0 basis point
- 21.7% chance of Fed rate cut at Jan. 29th meeting, 34.6% chance of cut at March 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -6 open in Japan
- China A50 Futures: Indicating -30 open in China
- DAX Futures: Indicating +11 open in Germany
Portfolio:
- Higher: On gains in my tech/retail sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
No comments:
Post a Comment