Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 25.6 -.6%
- Bloomberg Global Risk On/Risk Off Index 1,050.0 +102.0 points
- Euro/Yen Carry Return Index 128.94 +.01%
- Emerging Markets Currency Volatility(VXY) 10.7 +1.7%
- S&P 500 Implied Correlation 44.8 -9.9%
- ISE Sentiment Index 122.0 -31.0 points
- Total Put/Call .78 +6.9%
- NYSE Arms 1.40 +105.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 52.08 -.58%
- US Energy High-Yield OAS 717.82 -.86%
- European Financial Sector CDS Index 63.83 -.71%
- Italian/German 10Y Yld Spread 125.0 -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 58.66 -3.55%
- Emerging Market CDS Index 171.56 -.11%
- iBoxx Offshore RMB China Corporate High Yield Index 180.69 +.01%
- 2-Year Swap Spread 8.5 +1.0 basis point
- TED Spread 11.25 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -14.0 -.75 basis point
- MBS 5/10 Treasury Spread 71.75 -.25 basis point
- IHS Markit CMBX BBB- 6 70.0 +1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.59 -.17%
- 3-Month T-Bill Yield .09% unch.
- Yield Curve 74.5 +7.25 basis points
- China Iron Ore Spot 119.60 USD/Metric Tonne +.4%
- Citi US Economic Surprise Index 101.90 -3.1 points
- Citi Eurozone Economic Surprise Index 91.8 -4.7 points
- Citi Emerging Markets Economic Surprise Index 50.2 -.3 point
- 10-Year TIPS Spread 1.76 +3.0 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 +440 open in Japan
- China A50 Futures: Indicating +32 open in China
- DAX Futures: Indicating +9 open in Germany
Portfolio:
- Slightly Lower: On losses in my medical/tech sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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