Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 18.7 -.9%
- Euro/Yen Carry Return Index 133.63 -.11%
- Emerging Markets Currency Volatility(VXY) 10.19 -.2%
- S&P 500 Implied Correlation 44.64 +2.67%
- ISE Sentiment Index 88.0 +14.3%
- Total Put/Call .86 -9.47%
- NYSE Arms .80 +27.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 79.19 -.21%
- America Energy Sector High-Yield CDS Index 705.0 +.33%
- European Financial Sector CDS Index 102.54 +2.75%
- Italian/German 10Y Yld Spread 294.0 +3.25 basis points
- Asia Pacific Sovereign Debt CDS Index 10.42 +.97%
- Emerging Market CDS Index 219.95 +1.12%
- iBoxx Offshore RMB China Corporate High Yield Index 146.76 -.85%
- 2-Year Swap Spread 17.75 -.25 basis point
- TED Spread 29.75 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -25.25 +2.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.88 -.04%
- 3-Month T-Bill Yield 2.39% unch.
- Yield Curve 22.75 -.5 basis point
- China Iron Ore Spot 62.18 USD/Metric Tonne -.19%
- Citi US Economic Surprise Index -1.4 -.6 point
- Citi Eurozone Economic Surprise Index -63.70 +.5 point
- Citi Emerging Markets Economic Surprise Index -6.60 +3.1 points
- 10-Year TIPS Spread 1.92 -5.0 basis points
- 78.4% chance of Fed rate hike at Jan. 30th meeting, 89.7% chance at March 20th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +103 open in Japan
- China A50 Futures: Indicating +52 open in China
- DAX Futures: Indicating +5 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech/industrial sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
No comments:
Post a Comment