Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 11.46 -2.55%
- Euro/Yen Carry Return Index 137.88 -.59%
- Emerging Markets Currency Volatility(VXY) 7.92 -2.33%
- S&P 500 Implied Correlation 16.30 -15.0%
- ISE Sentiment Index 95.0 +8.4%
- Total Put/Call .76 -33.6%
- NYSE Arms .65 -21.59%
Credit Investor Angst:
- North American Investment Grade CDS Index 55.09 -.97%
- America Energy Sector High-Yield CDS Index 379.0 -2.53%
- European Financial Sector CDS Index 51.03 -2.30%
- Western Europe Sovereign Debt CDS Index 3.91 -1.76%
- Asia Pacific Sovereign Debt CDS Index 15.87 -1.31%
- Emerging Market CDS Index 186.86 unch.
- iBoxx Offshore RMB China Corporate High Yield Index 145.33 -.02%
- 2-Year Swap Spread 16.50 -1.5 basis points
- TED Spread 17.0 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -48.0 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.94 +.36%
- 3-Month T-Bill Yield 1.27% +1.0 basis point
- Yield Curve 62.5 -2.75 basis points
- China Import Iron Ore Spot $62.61/Metric Tonne +.02%
- Citi US Economic Surprise Index 56.0 +11.8 points
- Citi Eurozone Economic Surprise Index 58.90 -.7 basis point
- Citi Emerging Markets Economic Surprise Index 14.50 +1.6 points
- 10-Year TIPS Spread 1.89 unch.
- 100.0% chance of Fed rate hike at Jan. 31 meeting, 100.0% chance at March 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -59 open in Japan
- China A50 Futures: Indicating -3 open in China
- DAX Futures: Indicating -5 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/retail sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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