Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 23.2 -6.3%
- Bloomberg Global Risk On/Risk Off Index 1,221.50 +111.0 points
- Euro/Yen Carry Return Index 128.63 -.14%
- Emerging Markets Currency Volatility(VXY) 10.8 +.8%
- S&P 500 Implied Correlation 40.6 -8.6%
- ISE Sentiment Index 91.0 -31.0 points
- Total Put/Call 1.04 +28.4%
- NYSE Arms 1.48 +45.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 53.36 +.95%
- US Energy High-Yield OAS 717.82 n/a
- European Financial Sector CDS Index 63.83 unch.
- Italian/German 10Y Yld Spread 125.0 unch.
- Asia Ex-Japan Investment Grade CDS Index 57.58 -1.74%
- Emerging Market CDS Index 171.56 unch.
- iBoxx Offshore RMB China Corporate High Yield Index 180.94 +.08%
- 2-Year Swap Spread 8.5 unch.
- TED Spread 11.25 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -14.75 -.75 basis point
- MBS 5/10 Treasury Spread 71.5 -.25 basis point
- IHS Markit CMBX BBB- 6 70.5 +.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.78 +.45%
- 3-Month T-Bill Yield .09% unch.
- Yield Curve 74.75 +.25 basis point
- China Iron Ore Spot 120.45 USD/Metric Tonne -.54%
- Citi US Economic Surprise Index 99.20 -2.7 points
- Citi Eurozone Economic Surprise Index 92.7 +.9 point
- Citi Emerging Markets Economic Surprise Index 52.4 +2.2 points
- 10-Year TIPS Spread 1.75 -1.0 basis point
- 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 +256 open in Japan
- China A50 Futures: Indicating -6 open in China
- DAX Futures: Indicating -13 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/biotech/consumer staple sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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