Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Heavy
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 23.5 +13.1%
- Euro/Yen Carry Return Index 133.14 -.26%
- Emerging Markets Currency Volatility(VXY) 10.19 +2.0%
- S&P 500 Implied Correlation 47.17 +3.37%
- ISE Sentiment Index 74.0 +8.82%
- Total Put/Call 1.18 +26.9%
- NYSE Arms 1.12 -66.47%
Credit Investor Angst:
- North American Investment Grade CDS Index 80.92 +2.23%
- America Energy Sector High-Yield CDS Index 681.0 +1.92%
- European Financial Sector CDS Index 111.05 +512%
- Italian/German 10Y Yld Spread 296.75 +7.5 basis points
- Asia Pacific Sovereign Debt CDS Index 9.85 +.1%
- Emerging Market CDS Index 210.36 +1.38%
- iBoxx Offshore RMB China Corporate High Yield Index 148.96 +1.14%
- 2-Year Swap Spread 17.25 +1.0 basis point
- TED Spread 33.5 -2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -15.50 +7.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.04 -.31%
- 3-Month T-Bill Yield 2.40% -1.0 basis point
- Yield Curve 12.0 +1.0 basis point
- China Iron Ore Spot 64.05 USD/Metric Tonne -.14%
- Citi US Economic Surprise Index -2.8 +.3 point
- Citi Eurozone Economic Surprise Index -48.70 +7.2 points
- Citi Emerging Markets Economic Surprise Index -3.5 +2.0 points
- 10-Year TIPS Spread 1.91 -3.0 basis points
- 70.4% chance of Fed rate hike at Jan. 30th meeting, 83.5% chance at March 20th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -46 open in Japan
- China A50 Futures: Indicating +14 open in China
- DAX Futures: Indicating +81 open in Germany
Portfolio:
- Higher: On gains in my tech sector longs, index hedges and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
- Market Exposure: Moved to 75% Net Long
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