Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 20.9 -1.7%
- Bloomberg Global Risk On/Risk Off Index 1,460.0 -2.0 points
- Euro/Yen Carry Return Index 130.60 +.12%
- Emerging Markets Currency Volatility(VXY) 10.3 -.6%
- S&P 500 Implied Correlation 46.1 -1.3%
- ISE Sentiment Index 133.0 +19.0 points
- Total Put/Call .60 -7.7%
- NYSE Arms 1.07 -18.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 51.07 +.53%
- US Energy High-Yield OAS 602.63 -.54%
- European Financial Sector CDS Index 57.40 -2.19%
- Italian/German 10Y Yld Spread 120.0 +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 57.75 +.93%
- Emerging Market CDS Index 161.36 -.46%
- iBoxx Offshore RMB China Corporate High Yield Index 182.08 unch.
- 2-Year Swap Spread 8.0 -.5 basis point
- TED Spread 15.5 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -27.5 -4.75 basis points
- MBS 5/10 Treasury Spread 73.75 +1.25 basis points
- IHS Markit CMBX BBB- 6 71.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 62.26 +.18%
- 3-Month T-Bill Yield .07% unch.
- Yield Curve 79.0 -1.5 basis points
- China Iron Ore Spot 143.40 USD/Metric Tonne -1.9%
- Citi US Economic Surprise Index 67.70 -2.6 points
- Citi Eurozone Economic Surprise Index 141.3 +2.2 points
- Citi Emerging Markets Economic Surprise Index 61.40 -.5 point
- 10-Year TIPS Spread 1.90 +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 +73 open in Japan
- China A50 Futures: Indicating -4 open in China
- DAX Futures: Indicating +19 open in Germany
Portfolio:
- Higher: On gains in my industrial/biotech/consumer staple/tech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
No comments:
Post a Comment