Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.89 +11.2%
- Euro/Yen Carry Return Index 138.77 -.54%
- Emerging Markets Currency Volatility(VXY) 8.11 -.12%
- S&P 500 Implied Correlation 21.91 +18.7%
- ISE Sentiment Index 165.0 +65.0%
- Total Put/Call 1.04 +17.0%
- NYSE Arms .73 -47.53%
Credit Investor Angst:
- North American Investment Grade CDS Index 56.96 -.15%
- America Energy Sector High-Yield CDS Index 395.0 +6.18%
- European Financial Sector CDS Index 53.28 +.63%
- Western Europe Sovereign Debt CDS Index 3.95 +2.07%
- Asia Pacific Sovereign Debt CDS Index 15.93 +.38%
- Emerging Market CDS Index 193.90 +.01%
- iBoxx Offshore RMB China Corporate High Yield Index 145.33 -.01%
- 2-Year Swap Spread 17.75 -.75 basis point
- TED Spread 15.5 -3.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -47.75 -1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.32 unch.
- 3-Month T-Bill Yield 1.25% +1.0 basis point
- Yield Curve 64.75 -4.25 basis points
- China Import Iron Ore Spot $61.84/Metric Tonne -2.11%
- Citi US Economic Surprise Index 35.50 -1.9 points
- Citi Eurozone Economic Surprise Index 60.30 -.6 basis point
- Citi Emerging Markets Economic Surprise Index 12.80 +.5 point
- 10-Year TIPS Spread 1.88 -2.0 basis points
- 100.0% chance of Fed rate hike at Jan. 31 meeting, 100.0% chance at March 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +88 open in Japan
- China A50 Futures: Indicating -37 open in China
- DAX Futures: Indicating +9 open in Germany
Portfolio:
- Slightly Lower: On losses in my medical/tech sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
No comments:
Post a Comment