Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 13.4 -7.5%
- Euro/Yen Carry Return Index 124.65 -.56%
- Emerging Markets Currency Volatility(VXY) 6.78 -1.45%
- S&P 500 Implied Correlation 42.6 -2.2%
- ISE Sentiment Index 121.0 +43
- Total Put/Call .88 -20.0%
- NYSE Arms .79 -18.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 49.31 -2.18%
- America Energy Sector High-Yield CDS Index 651.0 +3.89%
- European Financial Sector CDS Index 55.52 -1.78%
- Italian/German 10Y Yld Spread 163.75 -2.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 64.21 -1.18%
- Emerging Market CDS Index 200.18 -1.88%
- iBoxx Offshore RMB China Corporate High Yield Index 167.88 -.29%
- 2-Year Swap Spread 1.75 +.25 basis point
- TED Spread 37.25 +2.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -13.25 -1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.62 +.24%
- 3-Month T-Bill Yield 1.52% -1.0 basis point
- Yield Curve .22 +1.0 basis point
- China Iron Ore Spot 87.97 USD/Metric Tonne +.81%
- Citi US Economic Surprise Index 7.5 +9.8 basis points
- Citi Eurozone Economic Surprise Index -5.8 -5.0 points
- Citi Emerging Markets Economic Surprise Index -23.0 -.1 basis point
- 10-Year TIPS Spread 1.70 +2.0 basis points
- 8.3% chance of Fed rate cut at Jan. 29th meeting, 21.6% chance of cut at March 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +206 open in Japan
- China A50 Futures: Indicating +33 open in China
- DAX Futures: Indicating +17 open in Germany
Portfolio:
- Higher: On gains in my industrial/tech/medical/biotech/retail sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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