- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 21.96 -3.1%
- Bloomberg Global Risk On/Risk Off Index 1,280.0 +171.0 points
- Euro/Yen Carry Return Index 128.64 +.36%
- Emerging Markets Currency Volatility(VXY) 10.23 -.68%
- S&P 500 Implied Correlation 49.37 +.65%
- ISE Sentiment Index 113.0 unch.
- Total Put/Call .60 -10.5%
- NYSE Arms .93 +36.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 51.27 -5.8%
- US Energy High-Yield OAS 688.74 -1.93%
- European Financial Sector CDS Index 59.18 -5.88%
- Italian/German 10Y Yld Spread 118.0 -3.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 60.66 -3.06%
- Emerging Market CDS Index 164.29 -3.22%
- iBoxx Offshore RMB China Corporate High Yield Index 179.31 +.05%
- 2-Year Swap Spread 9.5 +.5 basis point.
- TED Spread 12.5 -1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -15.75 +3.75 basis points
- MBS 5/10 Treasury Spread 73.50 -1.5 basis points
- IHS Markit CMBX BBB- 6 70.25 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.95 +.17%
- 3-Month T-Bill Yield .08% +1.0 basis point
- Yield Curve 70.5 +1.5 basis points
- China Iron Ore Spot 125.45 USD/Metric Tonne -3.21%
- Citi US Economic Surprise Index 77.0 +1.4 points
- Citi Eurozone Economic Surprise Index 110.2 +7.4 points
- Citi Emerging Markets Economic Surprise Index 55.6 -1.7 points
- 10-Year TIPS Spread 1.73 +2.0 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 +290 open in Japan
- China A50 Futures: Indicating +12 open in China
- DAX Futures: Indicating +13 open in Germany
Portfolio:
- Higher: On gains in my industrial/tech/medical/consumer staple sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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