Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 21.3 -2.0%
- Euro/Yen Carry Return Index 133.72 +.23%
- Emerging Markets Currency Volatility(VXY) 10.10 -.1%
- S&P 500 Implied Correlation 47.71 +1.3%
- ISE Sentiment Index 92.0 -6.12%
- Total Put/Call 1.07 +13.8%
- NYSE Arms .51 -54.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 77.81 -3.17%
- America Energy Sector High-Yield CDS Index 686.0 -.38%
- European Financial Sector CDS Index 102.75 -5.53%
- Italian/German 10Y Yld Spread 272.25 -16.75 basis points
- Asia Pacific Sovereign Debt CDS Index 9.55 -2.45%
- Emerging Market CDS Index 201.82 -2.07%
- iBoxx Offshore RMB China Corporate High Yield Index 149.63 +.04%
- 2-Year Swap Spread 14.0 +2.5 basis points
- TED Spread 37.75 -1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -11.75 -4.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.08 +.44%
- 3-Month T-Bill Yield 2.42% +2.0 basis points
- Yield Curve 13.75 +2.75 basis points
- China Iron Ore Spot 65.3 USD/Metric Tonne +.29%
- Citi US Economic Surprise Index -7.3 -.2 point
- Citi Eurozone Economic Surprise Index -44.0 +1.6 points
- Citi Emerging Markets Economic Surprise Index .7 +6.5 points
- 10-Year TIPS Spread 1.84 +1.0 basis point
- 74.0% chance of Fed rate hike at Jan. 30th meeting, 83.3% chance at March 20th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +73 open in Japan
- China A50 Futures: Indicating +58 open in China
- DAX Futures: Indicating +13 open in Germany
Portfolio:
- Higher: On gains in my tech/medical/biotech/retail/industrial sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
No comments:
Post a Comment