- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 22.5 +1.0%
- Bloomberg Global Risk On/Risk Off Index 1,304.0 -29.0 points
- Euro/Yen Carry Return Index 130.89 +.40%
- Emerging Markets Currency Volatility(VXY) 10.3 -1.35%
- S&P 500 Implied Correlation 47.7 +5.5%
- ISE Sentiment Index 146.0 +56.0 points
- Total Put/Call .67 -21.2%
- NYSE Arms .75 -21.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 52.93 +1.64%
- US Energy High-Yield OAS 594.86 -.11%
- European Financial Sector CDS Index 59.37 +3.93%
- Italian/German 10Y Yld Spread 117.0 -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 58.02 +.44%
- Emerging Market CDS Index 163.67 -.29%
- iBoxx Offshore RMB China Corporate High Yield Index 181.92 -.12%
- 2-Year Swap Spread 7.0 unch.
- TED Spread 15.5 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -19.5 +.75 basis point
- MBS 5/10 Treasury Spread 74.5 +.75 basis point
- IHS Markit CMBX BBB- 6 72.5 +.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 62.42 +.36%
- 3-Month T-Bill Yield .07% unch.
- Yield Curve 78.0 -.75 basis point
- China Iron Ore Spot 156.73 USD/Metric Tonne +1.37%
- Citi US Economic Surprise Index 69.20 +2.6 points
- Citi Eurozone Economic Surprise Index 140.8 +1.0 point
- Citi Emerging Markets Economic Surprise Index 60.80 +.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 -86 open in Japan
- China A50 Futures: Indicating +25 open in China
- DAX Futures: Indicating -31 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/biotech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
No comments:
Post a Comment