Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 23.8 +2.1%
- Bloomberg Global Risk On/Risk Off Index 1,209.0 +9.0 points
- Euro/Yen Carry Return Index 130.89 +.36%
- Emerging Markets Currency Volatility(VXY) 10.3 +.3%
- S&P 500 Implied Correlation 50.7 +5.7%
- ISE Sentiment Index 117.0 -19.0 points
- Total Put/Call .76 -20.8%
- NYSE Arms 2.04 +23.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 54.02 +.47%
- US Energy High-Yield OAS 585.51 -.88%
- European Financial Sector CDS Index 61.20 -4.1%
- Italian/German 10Y Yld Spread 116.0 -3.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 58.53 +.05%
- Emerging Market CDS Index 163.63 -1.03%
- iBoxx Offshore RMB China Corporate High Yield Index 182.10 +.06%
- 2-Year Swap Spread 8.0 +.5 basis point
- TED Spread 15.25 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -17.25 +4.5 basis points
- MBS 5/10 Treasury Spread 72.75 +.75 basis point
- IHS Markit CMBX BBB- 6 72.5 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 62.37 -.10%
- 3-Month T-Bill Yield .07% unch.
- Yield Curve 78.5 +1.25 basis points
- China Iron Ore Spot 153.0 USD/Metric Tonne -4.3%
- Citi US Economic Surprise Index 75.80 -2.4 points
- Citi Eurozone Economic Surprise Index 138.3 -2.9 points
- Citi Emerging Markets Economic Surprise Index 67.1 +.4 point
- 10-Year TIPS Spread 1.88 +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 -12 open in Japan
- China A50 Futures: Indicating +21 open in China
- DAX Futures: Indicating -11 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/medical/tech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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