Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 23.6 -5.2%
- Bloomberg Global Risk On/Risk Off Index 1,138.0 +539.0 points
- Euro/Yen Carry Return Index 129.10 +1.47%
- Emerging Markets Currency Volatility(VXY) 10.6 -.47%
- S&P 500 Implied Correlation 43.6 -6.7%
- ISE Sentiment Index 153.0 +5.0 points
- Total Put/Call .71 -15.5%
- NYSE Arms .74 -12.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 51.21 -4.23%
- US Energy High-Yield OAS 729.86 -4.67%
- European Financial Sector CDS Index 64.30 -6.82%
- Italian/German 10Y Yld Spread 127.0 +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 60.92 -4.33%
- Emerging Market CDS Index 171.21 -9.84%
- iBoxx Offshore RMB China Corporate High Yield Index 180.68 +.04%
- 2-Year Swap Spread 7.5 -1.25 basis points
- TED Spread 12.0 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -14.75 -.75 basis point
- MBS 5/10 Treasury Spread 72.0 -2.0 basis points
- IHS Markit CMBX BBB- 6 68.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.67 +.91%
- 3-Month T-Bill Yield .09% +1.0 basis point
- Yield Curve 67.25 +5.5 basis points
- China Iron Ore Spot 119.17 USD/Metric Tonne +1.0%
- Citi US Economic Surprise Index 105.0 -13.0 points
- Citi Eurozone Economic Surprise Index 96.5 +1.8 points
- Citi Emerging Markets Economic Surprise Index 50.5 -3.5 points
- 10-Year TIPS Spread 1.73 +8.0 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 +736 open in Japan
- China A50 Futures: Indicating +48 open in China
- DAX Futures: Indicating -27 open in Germany
Portfolio:
- Higher: On gains in my medical/biotech/industrial sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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