Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.7 -.54%
- Euro/Yen Carry Return Index 125.28 +.09%
- Emerging Markets Currency Volatility(VXY) 6.89 -.43%
- S&P 500 Implied Correlation 43.9 -4.4%
- ISE Sentiment Index 78.0 +1
- Total Put/Call .96 -4.0%
- NYSE Arms .92 +15.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 50.39 -.73%
- America Energy Sector High-Yield CDS Index 626.0 +.14%
- European Financial Sector CDS Index 56.53 +.93%
- Italian/German 10Y Yld Spread 166.5 +6.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 64.9 -.31%
- Emerging Market CDS Index 205.03 +.11%
- iBoxx Offshore RMB China Corporate High Yield Index 168.36 -.03%
- 2-Year Swap Spread 1.5 unch.
- TED Spread 35.0 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -11.5 +.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.62 +.24%
- 3-Month T-Bill Yield 1.53% unch.
- Yield Curve .21 +1.0 basis point
- China Iron Ore Spot 86.26 USD/Metric Tonne -.33%
- Citi US Economic Surprise Index -2.3 +1.9 basis points
- Citi Eurozone Economic Surprise Index -.8 -1.7 points
- Citi Emerging Markets Economic Surprise Index -22.9 -.1 basis point
- 10-Year TIPS Spread 1.68 -1.0 basis point
- 12.3% chance of Fed rate cut at Jan. 29th meeting, 26.6% chance of cut at March 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +15 open in Japan
- China A50 Futures: Indicating +17 open in China
- DAX Futures: Indicating +23 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial/tech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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