Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 23.1 +1.7%
- Bloomberg Global Risk On/Risk Off Index 1,101.0 -10.0 points
- Euro/Yen Carry Return Index 127.48 -.36%
- Emerging Markets Currency Volatility(VXY) 10.47 -.19%
- S&P 500 Implied Correlation 38.9 -2.7%
- ISE Sentiment Index 134.0 +11.0 points
- Total Put/Call .70 -18.6%
- NYSE Arms 1.06 +24.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 52.97 +.66%
- US Energy High-Yield OAS 712.89 -1.39%
- European Financial Sector CDS Index 62.90 -1.15%
- Italian/German 10Y Yld Spread 121.0 +1.0 basis piont
- Asia Ex-Japan Investment Grade CDS Index 60.31 +.25%
- Emerging Market CDS Index 170.04 -2.08%
- iBoxx Offshore RMB China Corporate High Yield Index 181.27 -.15%
- 2-Year Swap Spread 8.25 -.5 basis point
- TED Spread 14.0 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -14.0 -1.0 basis points
- MBS 5/10 Treasury Spread 73.75 +.5 basis point
- IHS Markit CMBX BBB- 6 71.0 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.28 +.20%
- 3-Month T-Bill Yield .08% unch.
- Yield Curve 68.0 -5.5 basis points
- China Iron Ore Spot 123.50 USD/Metric Tonne +.46%
- Citi US Economic Surprise Index 66.4 -1.5 points
- Citi Eurozone Economic Surprise Index 109.2 +6.8 points
- Citi Emerging Markets Economic Surprise Index 58.5 -.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 +72 open in Japan
- China A50 Futures: Indicating +10 open in China
- DAX Futures: Indicating -53 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech/medical sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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