Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 25.3 -8.3%
- Bloomberg Global Risk On/Risk Off Index 576.0 +214.0 points
- Euro/Yen Carry Return Index 127.17 +.22%
- Emerging Markets Currency Volatility(VXY) 10.7 +.76%
- S&P 500 Implied Correlation 47.96 -11.3%
- ISE Sentiment Index 148.0 +48.0 points
- Total Put/Call .82 +3.8%
- NYSE Arms .77 -11.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 52.57 -2.8%
- US Energy High-Yield OAS 798.55 -.27%
- European Financial Sector CDS Index 69.0 -.53%
- Italian/German 10Y Yld Spread 126.0 -5.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 63.85 -1.34%
- Emerging Market CDS Index 189.86 -.03%
- iBoxx Offshore RMB China Corporate High Yield Index 180.61 +.13%
- 2-Year Swap Spread 8.75 unch.
- TED Spread 12.75 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -14.0 -1.75 basis points
- MBS 5/10 Treasury Spread 74.0 -1.25 basis points
- IHS Markit CMBX BBB- 6 68.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 59.97 +.37%
- 3-Month T-Bill Yield .09% +1.0 basis point
- Yield Curve 61.75 +2.5 basis points
- China Iron Ore Spot 116.95 USD/Metric Tonne +2.43%
- Citi US Economic Surprise Index 118.0 -2.5 points
- Citi Eurozone Economic Surprise Index 94.70 -2.2 points
- Citi Emerging Markets Economic Surprise Index 54.0 -.5 point
- 10-Year TIPS Spread 1.65 -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 +89 open in Japan
- China A50 Futures: Indicating +64 open in China
- DAX Futures: Indicating +18 open in Germany
Portfolio:
- Slightly Higher: On gains in my medical/consumer staple/tech sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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