Broad Equity Market Tone:
- Advance/Decline Line: About Even
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.8 +1.2%
- Euro/Yen Carry Return Index 124.53 -.29%
- Emerging Markets Currency Volatility(VXY) 7.25 -.55%
- S&P 500 Implied Correlation 30.15 +.9%
- ISE Sentiment Index 102.0 +4
- Total Put/Call .89 -3.3%
- NYSE Arms 1.51 +36.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 51.69 +.44%
- America Energy Sector High-Yield CDS Index 543.0 +2.34%
- European Financial Sector CDS Index 57.09 -1.97%
- Italian/German 10Y Yld Spread 147.0 -3.5 basis points
- Asia Ex-Japan Investment Grade CDS Index 63.55 -.8%
- Emerging Market CDS Index 197.76 +2.31%
- iBoxx Offshore RMB China Corporate High Yield Index 167.65 -.01%
- 2-Year Swap Spread 4.0 -.25 basis point
- TED Spread 34.75 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -17.0 -.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.48 -.51%
- 3-Month T-Bill Yield 1.56% +2.0 basis points
- Yield Curve .25 +1.0 basis point
- China Iron Ore Spot 79.03 USD/Metric Tonne +2.1%
- Citi US Economic Surprise Index 5.0 unch.
- Citi Eurozone Economic Surprise Index -16.40 +6.4 points
- Citi Emerging Markets Economic Surprise Index -21.50 +.6 basis point
- 10-Year TIPS Spread 1.71 -2.0 basis points
- 21.4% chance of Fed rate cut at Jan. 29th meeting, 34.0% chance of cut at March 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -60 open in Japan
- China A50 Futures: Indicating -47 open in China
- DAX Futures: Indicating -23 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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