Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 12.8 +3.8%
- Euro/Yen Carry Return Index 125.55 +.12%
- Emerging Markets Currency Volatility(VXY) 7.24 +.7%
- S&P 500 Implied Correlation 27.7 -3.7%
- ISE Sentiment Index 112.0 +5.0
- Total Put/Call .61 -15.3%
- NYSE Arms .75 +5.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 53.58 -3.66%
- America Energy Sector High-Yield CDS Index 501.0 -.36%
- European Financial Sector CDS Index 55.56 -3.15%
- Italian/German 10Y Yld Spread 134.75 -2.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 64.62 -3.35%
- Emerging Market CDS Index 189.47 -1.57%
- iBoxx Offshore RMB China Corporate High Yield Index 167.27 +.02%
- 2-Year Swap Spread 4.25 +1.0 basis point
- TED Spread 37.75 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -14.75 +4.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.42 -.11%
- 3-Month T-Bill Yield 1.53% +2.0 basis points
- Yield Curve .16 unch.
- China Iron Ore Spot 80.10 USD/Metric Tonne -.15%
- Citi US Economic Surprise Index 5.0 -1.0 point
- Citi Eurozone Economic Surprise Index -36.20 -6.3 points
- Citi Emerging Markets Economic Surprise Index -25.70 -2.3 basis points
- 10-Year TIPS Spread 1.65 +5.0 basis points
- 31.9% chance of Fed rate cut at Jan. 29th meeting, 44.1% chance of cut at March 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +300 open in Japan
- China A50 Futures: Indicating +54 open in China
- DAX Futures: Indicating -13 open in Germany
Portfolio:
- Higher: On gains in my tech/industrial/retail sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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