Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.24 -3.77%
- Euro/Yen Carry Return Index 138.68 -.27%
- Emerging Markets Currency Volatility(VXY) 7.97 +1.14%
- S&P 500 Implied Correlation 37.21 +3.39%
- ISE Sentiment Index 127.0 +.79%
- Total Put/Call .85 +2.41%
- NYSE Arms 1.32 +82.47%
Credit Investor Angst:
- North American Investment Grade CDS Index 51.54 -.43%
- America Energy Sector High-Yield CDS Index 365.0 +.05%
- European Financial Sector CDS Index 45.99 -.31%
- Western Europe Sovereign Debt CDS Index 3.59 +4.06%
- Asia Pacific Sovereign Debt CDS Index 13.97 -.07%
- Emerging Market CDS Index 176.09 -1.02%
- iBoxx Offshore RMB China Corporate High Yield Index 145.69 -.01%
- 2-Year Swap Spread 17.25 -.75 basis point
- TED Spread 21.25 -1.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -52.75 3.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.32 -.09%
- 3-Month T-Bill Yield 1.30% +3.0 basis points
- Yield Curve 54.0 -3.0 basis points
- China Import Iron Ore Spot $72.68/Metric Tonne unch.
- Citi US Economic Surprise Index 63.10 -2.2 points
- Citi Eurozone Economic Surprise Index 66.40 -2.9 basis points
- Citi Emerging Markets Economic Surprise Index 1.80 +.7 point
- 10-Year TIPS Spread 1.88 -2.0 bassis 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 -42 open in Japan
- China A50 Futures: Indicating -18 open in China
- DAX Futures: Indicating -36 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/medical sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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