Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 25.2 +7.6%
- Bloomberg Global Risk On/Risk Off Index 958.0 -248.0 points
- Euro/Yen Carry Return Index 128.52 -.04%
- Emerging Markets Currency Volatility(VXY) 10.72 -.09%
- S&P 500 Implied Correlation 43.4 +9.5%
- ISE Sentiment Index 10.0 +9.0 points
- Total Put/Call .87 -14.7%
- NYSE Arms .93 -45.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 54.90 +3.12%
- US Energy High-Yield OAS 728.50 +1.6%
- European Financial Sector CDS Index 67.63 +5.95%
- Italian/German 10Y Yld Spread 122.0 -3.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 58.18 +1.11%
- Emerging Market CDS Index 175.47 +2.18%
- iBoxx Offshore RMB China Corporate High Yield Index 180.85 +.01%
- 2-Year Swap Spread 8.5 unch.
- TED Spread 12.5 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -14.75 unch.
- MBS 5/10 Treasury Spread 75.0 +3.5 basis points
- IHS Markit CMBX BBB- 6 70.5 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.80 +.02%
- 3-Month T-Bill Yield .09% unch.
- Yield Curve 75.25 +.5 basis point
- China Iron Ore Spot 118.81 USD/Metric Tonne -.87%
- Citi US Economic Surprise Index 86.50 -12.7 points
- Citi Eurozone Economic Surprise Index 92.3 -.4 point
- Citi Emerging Markets Economic Surprise Index 55.7 +3.3 points
- 10-Year TIPS Spread 1.72 -3.0 basis points
- 100.0% chance of no change at Jan. 27th meeting, 100.0% chance of no change at March 17th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -180 open in Japan
- China A50 Futures: Indicating -15 open in China
- DAX Futures: Indicating -91 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging market shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 25% Net Long
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