Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 23.6 -.6%
- Bloomberg Global Risk On/Risk Off Index 1,037.0 +115.0 points
- Euro/Yen Carry Return Index 127.87 +.32%
- Emerging Markets Currency Volatility(VXY) 10.13 +1.18%
- S&P 500 Implied Correlation n/a
- ISE Sentiment Index 113.0 +13.0 points
- Total Put/Call .60 -15.5%
- NYSE Arms .74 -36.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 54.40 -2.6%
- US Energy High-Yield OAS 706.06 -.8%
- European Financial Sector CDS Index 62.60 -3.77%
- Italian/German 10Y Yld Spread 121.0 -1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 62.50 +.08%
- Emerging Market CDS Index 170.22 +.35%
- iBoxx Offshore RMB China Corporate High Yield Index 179.22 -.89%
- 2-Year Swap Spread 9.0 -.25 basis point.
- TED Spread 14.25 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -19.5 -1.25 basis points
- MBS 5/10 Treasury Spread 75.0 +1.0 basis point
- IHS Markit CMBX BBB- 6 70.5 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.83 -.65%
- 3-Month T-Bill Yield .07% +1.0 basis point
- Yield Curve 69.0 +2.25 basis points
- China Iron Ore Spot 123.46 USD/Metric Tonne -3.21%
- Citi US Economic Surprise Index 75.6 +7.9 points
- Citi Eurozone Economic Surprise Index 102.8 -4.5 points
- Citi Emerging Markets Economic Surprise Index 57.3 -.8 point
- 10-Year TIPS Spread 1.71 +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 +398 open in Japan
- China A50 Futures: Indicating -50 open in China
- DAX Futures: Indicating +17 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial/tech sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
No comments:
Post a Comment