- Advance/Decline Line: Substantially Higher
- Sector Performance: Mixed
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 23.5 +1.7%
- Bloomberg Global Risk On/Risk Off Index 1,100.0 +29.0 points
- Euro/Yen Carry Return Index 128.20 unch.
- Emerging Markets Currency Volatility(VXY) 10.63 +.66%
- S&P 500 Implied Correlation 41.4 +7.0%
- ISE Sentiment Index 121.0 +7.0 points
- Total Put/Call .64 -18.0%
- NYSE Arms .77 -7.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 52.66 -3.2%
- US Energy High-Yield OAS 727.97 -.84%
- European Financial Sector CDS Index 62.92 -5.6%
- Italian/German 10Y Yld Spread 120.0 -1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 60.28 +1.08%
- Emerging Market CDS Index 169.99 -2.79%
- iBoxx Offshore RMB China Corporate High Yield Index 181.50 +.38%
- 2-Year Swap Spread 8.75 +.25 basis point
- TED Spread 13.75 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -15.25 +1.25 basis points
- MBS 5/10 Treasury Spread 73.5 +.75 basis point
- IHS Markit CMBX BBB- 6 70.25 unxh.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.0 +.28%
- 3-Month T-Bill Yield .08% -1.0 basis point
- Yield Curve 71.0 +1.5 basis points
- China Iron Ore Spot 120.08 USD/Metric Tonne +.75%
- Citi US Economic Surprise Index 66.0 -11.6 points
- Citi Eurozone Economic Surprise Index 98.7 +5.8 points
- Citi Emerging Markets Economic Surprise Index 59.9 +.6 point
- 10-Year TIPS Spread 1.73 unch.
- 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 +158 open in Japan
- China A50 Futures: Indicating +16 open in China
- DAX Futures: Indicating -43 open in Germany
Portfolio:
- Slightly Lower: On gains in my industrial/tech/consumer staple sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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