Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 9.82 +1.55%
- Euro/Yen Carry Return Index 137.69 -.7%
- Emerging Markets Currency Volatility(VXY) 7.82 unch.
- S&P 500 Implied Correlation 16.28 unch.
- ISE Sentiment Index 74.0 -40.8%
- Total Put/Call .75 -11.8%
- NYSE Arms 1.14 +6.41%
Credit Investor Angst:
- North American Investment Grade CDS Index 53.35 +1.6%
- America Energy Sector High-Yield CDS Index 370.0 +.1%
- European Financial Sector CDS Index 49.61 +.6%
- Western Europe Sovereign Debt CDS Index 3.81 +3.81%
- Asia Pacific Sovereign Debt CDS Index 14.27 -4.55%
- Emerging Market CDS Index 180.07 -.79%
- iBoxx Offshore RMB China Corporate High Yield Index 145.64 -.02%
- 2-Year Swap Spread 17.75 +.25 basis point
- TED Spread 21.0 +1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -46.25 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.41 +.17%
- 3-Month T-Bill Yield 1.25% -1.0 basis point
- Yield Curve 58.5-1.0 basis point
- China Import Iron Ore Spot $67.27/Metric Tonne -1.0%
- Citi US Economic Surprise Index 57.40 +6.8 points
- Citi Eurozone Economic Surprise Index 86.50 -6.4 basis points
- Citi Emerging Markets Economic Surprise Index 11.10 -1.7 points
- 10-Year TIPS Spread 1.86 -1.0 basis point
- 100.0% chance of Fed rate hike at Jan. 31 meeting, 100.0% chance at March 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -10 open in Japan
- China A50 Futures: Indicating -29 open in China
- DAX Futures: Indicating +20 open in Germany
Portfolio:
- Slightly Lower: On gains in my tech/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
No comments:
Post a Comment