Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.7 +5.1%
- Euro/Yen Carry Return Index 124.90 -.06%
- Emerging Markets Currency Volatility(VXY) 7.27 +1.68%
- S&P 500 Implied Correlation 29.63 -2.2%
- ISE Sentiment Index 98.0 -27
- Total Put/Call .92 -2.13%
- NYSE Arms 1.08 +20.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 51.47 +.21%
- America Energy Sector High-Yield CDS Index 531.0 -.84%
- European Financial Sector CDS Index 58.24 -2.1%
- Italian/German 10Y Yld Spread 150.5 +5.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 64.04 +1.61%
- Emerging Market CDS Index 193.24 -.36%
- iBoxx Offshore RMB China Corporate High Yield Index 167.67 +.07%
- 2-Year Swap Spread 4.25 -.25 basis point
- TED Spread 35.75 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -16.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.82 -.18%
- 3-Month T-Bill Yield 1.54% unch.
- Yield Curve .24 unch.
- China Iron Ore Spot 77.0 USD/Metric Tonne +.63%
- Citi US Economic Surprise Index 5.0 -2.2 points
- Citi Eurozone Economic Surprise Index -22.80 +2.5 points
- Citi Emerging Markets Economic Surprise Index -22.10 -.7 basis point
- 10-Year TIPS Spread 1.73 unch.
- 18.7% chance of Fed rate cut at Jan. 29th meeting, 30.5% chance of cut at March 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +51 open in Japan
- China A50 Futures: Indicating +123 open in China
- DAX Futures: Indicating +21 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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