- Advance/Decline Line: Around Even
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 22.5 -2.7%
- Bloomberg Global Risk On/Risk Off Index 1,025.0 +9.0 points
- Euro/Yen Carry Return Index 127.45 -.07%
- Emerging Markets Currency Volatility(VXY) 10.22 -.29%
- S&P 500 Implied Correlation 39.45 -.4%
- ISE Sentiment Index 100.0 +2.0 points
- Total Put/Call .67 -9.5%
- NYSE Arms .99 +12.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 55.95 +4.08%
- US Energy High-Yield OAS 710.93 +.1%
- European Financial Sector CDS Index 64.95 +1.38%
- Italian/German 10Y Yld Spread 122.0 +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 62.42 +2.85%
- Emerging Market CDS Index 169.43 -.41%
- iBoxx Offshore RMB China Corporate High Yield Index 180.82 +.05%
- 2-Year Swap Spread 9.25 +1.0 basis point.
- TED Spread 15.0 -1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -18.25 -1.5 basis points
- MBS 5/10 Treasury Spread 74.0 +.25 basis point
- IHS Markit CMBX BBB- 6 70.5 +.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.31 -.15%
- 3-Month T-Bill Yield .06% unch.
- Yield Curve 66.85 -1.25 basis points
- China Iron Ore Spot 126.11 USD/Metric Tonne +.31%
- Citi US Economic Surprise Index 67.7 -1.5 points
- Citi Eurozone Economic Surprise Index 107.3 -1.0 point
- Citi Emerging Markets Economic Surprise Index 58.1 -.1 point
- 10-Year TIPS Spread 1.70 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 +197 open in Japan
- China A50 Futures: Indicating +12 open in China
- DAX Futures: Indicating -17 open in Germany
Portfolio:
- Slightly Lower: On losses in my industrial sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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