- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 21.2 +1.9%
- Bloomberg Global Risk On/Risk Off Index 1,284.0 -50.0 points
- Euro/Yen Carry Return Index 129.05 +.06%
- Emerging Markets Currency Volatility(VXY) 10.1 +.5%
- S&P 500 Implied Correlation 47.8 -4.2%
- ISE Sentiment Index 121.0 -104.0 points
- Total Put/Call .72 -2.7%
- NYSE Arms 1.18 -28.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 50.26 -1.89%
- US Energy High-Yield OAS 677.92 -.07%
- European Financial Sector CDS Index 60.65 +1.1%
- Italian/German 10Y Yld Spread 120.0 +2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 60.16 +1.48%
- Emerging Market CDS Index 164.98 +.06%
- iBoxx Offshore RMB China Corporate High Yield Index 181.01 +.21%
- 2-Year Swap Spread 8.25 -1.75 basis points
- TED Spread 15.25 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -21.0 -2.5 basis points
- MBS 5/10 Treasury Spread 72.75 -3.75 basis points
- IHS Markit CMBX BBB- 6 71.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.21 -.11%
- 3-Month T-Bill Yield .08% unch.
- Yield Curve 68.75 -1.5 basis points
- China Iron Ore Spot 124.75 USD/Metric Tonne -3.2%
- Citi US Economic Surprise Index 77.80 -2.2 points
- Citi Eurozone Economic Surprise Index 123.7 +6.0 points
- Citi Emerging Markets Economic Surprise Index 65.1 +1.6 points
- 10-Year TIPS Spread 1.78 +2.0 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 +7 open in Japan
- China A50 Futures: Indicating +5 open in China
- DAX Futures: Indicating +9 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/medical sector longs, index hedges and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
No comments:
Post a Comment