Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 22.1 -22.7%
- Bloomberg Global Risk On/Risk Off Index 2,561.0 +550.0 points
- Euro/Yen Carry Return Index 132.18 -.16%
- Emerging Markets Currency Volatility(VXY) 10.9 -.18%
- S&P 500 Implied Correlation 49.1 n/a
- ISE Sentiment Index 115.0 +2.0 points
- Total Put/Call .88 -4.4%
- NYSE Arms 1.21 -14.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 57.68 -2.3%
- US Energy High-Yield OAS 424.58 -1.3%
- European Financial Sector CDS Index 65.54 -3.0%
- Italian/German 10Y Yld Spread 129.0 -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 92.5 +.18%
- Emerging Market CDS Index 209.78 -4.5%
- China Corp. High-Yield Bond USD ETF(KHYB) 32.9 +.03%
- 2-Year Swap Spread 23.5 +1.0 basis point
- TED Spread 13.75 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -32.5 -.5 basis point
- MBS 5/10 Treasury Spread 67.5 -1.5 basis points
- IHS Markit CMBX BBB- 6 73.0 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 53.89 -.77%
- 3-Month T-Bill Yield .04% unch.
- Yield Curve 99.0 +1.0 basis point
- China Iron Ore Spot 103.40 USD/Metric Tonne +3.2%
- Citi US Economic Surprise Index 25.9 -.5 point
- Citi Eurozone Economic Surprise Index -11.9 +2.7 points
- Citi Emerging Markets Economic Surprise Index -13.7 +2.3 points
- 10-Year TIPS Spread 2.56 +1.0 basis point
- 97.5% chance of no change at Jan. 26th meeting, 82.4% chance of no change at March 16th meeting
US Covid-19:
- 157 new infections/100K people(last 7 days total) -31/100K people
- 30% of Jan. 7th, 2021 peak(highest daily avg. new infections) -5.0 percentage points
Overseas Futures:
- Nikkei 225 Futures: Indicating +151 open in Japan
- China A50 Futures: Indicating -83 open in China
- DAX Futures: Indicating +54 open in Germany
Portfolio:
- Higher: On gains in my industrial/transport/tech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long