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) 15.7 -1.0%
- Euro/Yen Carry Return Index 125.18 +.23%
- Emerging Markets Currency Volatility(VXY) 6.80 +.15%
- S&P 500 Implied Correlation 44.4 +3.4%
- ISE Sentiment Index 99.0 -12
- Total Put/Call .92 -9.8%
- NYSE Arms .95 -7.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 49.88 -.24%
- America Energy Sector High-Yield CDS Index 643.0 -.78%
- European Financial Sector CDS Index 55.15 -.36%
- Italian/German 10Y Yld Spread 153.75 45.5 basis points
- Asia Ex-Japan Investment Grade CDS Index 63.75 +.1%
- Emerging Market CDS Index 198.27 -.82%
- iBoxx Offshore RMB China Corporate High Yield Index 167.07 -.25%
- 2-Year Swap Spread .5 -1.0 basis point
- TED Spread 35.0 -3.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -19.75 -17.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.69 -.02%
- 3-Month T-Bill Yield 1.55% +1.0 basis point
- Yield Curve .19 -2.0 basis points
- China Iron Ore Spot 92.27 USD/Metric Tonne +.13%
- Citi US Economic Surprise Index 4.7 -.2 basis point
- Citi Eurozone Economic Surprise Index 7.1 +6.8 points
- Citi Emerging Markets Economic Surprise Index -23.6 unch.
- 10-Year TIPS Spread 1.71 +1.0 basis point
- 6.6% chance of Fed rate cut at Jan. 29th meeting, 20.6% chance of cut at March 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +35 open in Japan
- China A50 Futures: Indicating +43 open in China
- DAX Futures: Indicating +13 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/medical/biotech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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