Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Mixed
- Volume: Slightly Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 11.74 -7.12%
- Euro/Yen Carry Return Index 126.94 +.40%
- Emerging Markets Currency Volatility(VXY) 11.18 +1.64%
- S&P 500 Implied Correlation 48.53 +.91%
- ISE Sentiment Index 93.0 -27.91%
- Total Put/Call .83 +13.70%
- NYSE Arms .83 -8.77%
Credit Investor Angst:
- North American Investment Grade CDS Index 67.92 -1.03%
- America Energy Sector High-Yield CDS Index 461.0 -1.21%
- European Financial Sector CDS Index 98.40 +1.67%
- Western Europe Sovereign Debt CDS Index 23.94 +3.35%
- Asia Pacific Sovereign Debt CDS Index 35.93 -.54%
- Emerging Market CDS Index 249.66 +.08%
- iBoxx Offshore RMB China Corporate High Yield Index 133.03 +.03%
- 2-Year Swap Spread 23.0 unch.
- TED Spread 42.5 -2.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -54.50 -4.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.82 -.35%
- 3-Month T-Bill Yield .53% +3.0 basis points
- Yield Curve 134.0 +5.0 basis points
- China Import Iron Ore Spot $81.66/Metric Tonne -.15%
- Citi US Economic Surprise Index 30.20 +.7 point
- Citi Eurozone Economic Surprise Index 62.60 -2.0 basis points
- Citi Emerging Markets Economic Surprise Index 2.90 -4.4 points
- 10-Year TIPS Spread 2.0% unch.
- 100.0% chance of Fed rate hike at Feb. 1 meeting, 100.0% chance at March 15 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +238 open in Japan
- China A50 Futures: Indicating +23 open in China
- DAX Futures: Indicating +11 open in Germany
Portfolio:
- Higher: On gains in my biotech/medical/tech sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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