Broad Equity Market Tone:
- Advance/Decline Line: Slightly Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.2 +11.7%
- Euro/Yen Carry Return Index 124.72 +.05%
- Emerging Markets Currency Volatility(VXY) 6.75 -.15%
- S&P 500 Implied Correlation 43.2 +3.72%
- ISE Sentiment Index 111.0 -10
- Total Put/Call .91 +3.41%
- NYSE Arms .94 +28.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 49.97 +.96%
- America Energy Sector High-Yield CDS Index 643.0 -1.2%
- European Financial Sector CDS Index 55.35 -.27%
- Italian/German 10Y Yld Spread 158.25 -5.5 basis points
- Asia Ex-Japan Investment Grade CDS Index 63.71 -.8%
- Emerging Market CDS Index 199.46 -.35%
- iBoxx Offshore RMB China Corporate High Yield Index 167.48 -.24%
- 2-Year Swap Spread 1.5 -.25 basis point
- TED Spread 38.5 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -2.75 -2.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.71 +.02%
- 3-Month T-Bill Yield 1.53% +1.0 basis point
- Yield Curve .21 -1.0 basis point
- China Iron Ore Spot 92.25 USD/Metric Tonne +.38%
- Citi US Economic Surprise Index 4.9 -2.6 basis points
- Citi Eurozone Economic Surprise Index .3 +6.5 points
- Citi Emerging Markets Economic Surprise Index -23.6 -.6 basis point
- 10-Year TIPS Spread 1.70 unch.
- 8.3% chance of Fed rate cut at Jan. 29th meeting, 19.5% chance of cut at March 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -35 open in Japan
- China A50 Futures: Indicating -33 open in China
- DAX Futures: Indicating -9 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/medical sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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