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) 13.3 +2.1%
- Euro/Yen Carry Return Index 124.0 -.26%
- Emerging Markets Currency Volatility(VXY) 7.36 -.81%
- S&P 500 Implied Correlation 29.56 +4.3%
- ISE Sentiment Index 62.0 -50
- Total Put/Call .89 -12.8%
- NYSE Arms 1.86 +46.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 52.53 +.72%
- America Energy Sector High-Yield CDS Index 552.0 +.66%
- European Financial Sector CDS Index 60.66 +2.64%
- Italian/German 10Y Yld Spread 167.50 +12.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 65.61 +1.75%
- Emerging Market CDS Index 200.58 +.52%
- iBoxx Offshore RMB China Corporate High Yield Index 167.86 +.08%
- 2-Year Swap Spread 3.0 -.25 basis point
- TED Spread 34.5 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -13.5 +2.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.36 -.03%
- 3-Month T-Bill Yield 1.56% unch.
- Yield Curve .24 -2.0 basis points
- China Iron Ore Spot 83.0 USD/Metric Tonne +5.39%
- Citi US Economic Surprise Index 3.8 -2.2 basis points
- Citi Eurozone Economic Surprise Index -10.70 +5.2 points
- Citi Emerging Markets Economic Surprise Index -25.90 -4.7 basis points
- 10-Year TIPS Spread 1.64 -2.0 basis points
- 26.2% chance of Fed rate cut at Jan. 29th meeting, 38.7% chance of cut at March 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -19 open in Japan
- China A50 Futures: Indicating +3 open in China
- DAX Futures: Indicating +5 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/industrial/medical sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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