Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 12.5 -5.5%
- Euro/Yen Carry Return Index 125.44 +.31%
- Emerging Markets Currency Volatility(VXY) 7.15 unch.
- S&P 500 Implied Correlation 28.81 -6.6%
- ISE Sentiment Index 107.0 +30.0
- Total Put/Call .72 -36.3%
- NYSE Arms .70 +4.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 53.58 -2.60%
- America Energy Sector High-Yield CDS Index 503.0 +2.95%
- European Financial Sector CDS Index 58.32 -2.51%
- Italian/German 10Y Yld Spread 137.50 +4.5 basis points
- Asia Ex-Japan Investment Grade CDS Index 66.30 -1.17%
- Emerging Market CDS Index 192.17 -3.27%
- iBoxx Offshore RMB China Corporate High Yield Index 167.24 +.01%
- 2-Year Swap Spread 3.25 unch.
- TED Spread 38.5 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -19.5 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.42 +.36%
- 3-Month T-Bill Yield 1.51% -2.0 basis points
- Yield Curve .16 unch.
- China Iron Ore Spot 81.66 USD/Metric Tonne -.06%
- Citi US Economic Surprise Index 6.0 +1.3 points
- Citi Eurozone Economic Surprise Index -42.50 +.6 point
- Citi Emerging Markets Economic Surprise Index -23.40 +3.6 basis points
- 10-Year TIPS Spread 1.60 +1.0 basis point
- 41.5% chance of Fed rate cut at Jan. 29th meeting, 52.7% chance of cut at March 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +115 open in Japan
- China A50 Futures: Indicating +75 open in China
- DAX Futures: Indicating +3 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/industrial/retail sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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