Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.73 -3.19%
- Euro/Yen Carry Return Index 124.91 +.73%
- Emerging Markets Currency Volatility(VXY) 10.86 -.55%
- S&P 500 Implied Correlation 52.97 -5.53%
- ISE Sentiment Index 74.0 +10.45%
- Total Put/Call .89 -1.11%
- NYSE Arms 1.18 +16.41%
Credit Investor Angst:
- North American Investment Grade CDS Index 73.40 -.25%
- America Energy Sector High-Yield CDS Index 585.0 -5.94%
- European Financial Sector CDS Index 106.50 -4.0%
- Western Europe Sovereign Debt CDS Index 23.35 -.15%
- Asia Pacific Sovereign Debt CDS Index 43.62 -1.41%
- Emerging Market CDS Index 268.27 -.46%
- iBoxx Offshore RMB China Corporate High Yield Index 132.97 +.03%
- 2-Year Swap Spread 19.75 -1.0 basis point
- TED Spread 45.75 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -60.75 +.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.33 -.07%
- 3-Month T-Bill Yield .47% +1.0 basis point
- Yield Curve 121.0 -1.0 basis point
- China Import Iron Ore Spot $77.30/Metric Tonne -4.37%
- Citi US Economic Surprise Index 16.80 +5.2 points
- Citi Eurozone Economic Surprise Index 61.60 -4.4 points
- Citi Emerging Markets Economic Surprise Index -4.7 -.3 point
- 10-Year TIPS Spread 1.90% +2.0 basis points
- 100.0% chance of Fed rate hike at Feb. 1 meeting, 100.0% chance at March 15 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +63 open in Japan
- China A50 Futures: Indicating +61 open in China
- DAX Futures: Indicating -3 open in Germany
Portfolio:
- Slightly Higher: On gains in my medical/biotech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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