Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 23.5 +11.0%
- Euro/Yen Carry Return Index 133.62 +.26%
- Emerging Markets Currency Volatility(VXY) 10.13 unch.
- S&P 500 Implied Correlation 49.3 +12.6%
- ISE Sentiment Index 88.0 unch.
- Total Put/Call 1.07 -4.46%
- NYSE Arms 1.57 +48.11%
Credit Investor Angst:
- North American Investment Grade CDS Index 81.22 +2.61%
- America Energy Sector High-Yield CDS Index 691.0 +1.23%
- European Financial Sector CDS Index 107.84 -2.9%
- Italian/German 10Y Yld Spread 288.25 -8.5 basis points
- Asia Pacific Sovereign Debt CDS Index 9.85 +.31%
- Emerging Market CDS Index 205.62 -1.49%
- iBoxx Offshore RMB China Corporate High Yield Index 148.13 -.56%
- 2-Year Swap Spread 16.0 -1.25 basis points
- TED Spread 37.25 +3.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -15.25 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.22 +.27%
- 3-Month T-Bill Yield 2.39% -1.0 basis point
- Yield Curve 14.0 +2.0 basis points
- China Iron Ore Spot 65.26 USD/Metric Tonne +.46%
- Citi US Economic Surprise Index -6.5 -3.8 points
- Citi Eurozone Economic Surprise Index -49.20 -.5 point
- Citi Emerging Markets Economic Surprise Index -4.6 -1.1 points
- 10-Year TIPS Spread 1.90 -1.0 basis point
- 70.4% chance of Fed rate hike at Jan. 30th meeting, 79.3% chance at March 20th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -373 open in Japan
- China A50 Futures: Indicating -96 open in China
- DAX Futures: Indicating -80 open in Germany
Portfolio:
- Lower: On losses in my tech/biotech/medical/retail/industrial sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 25% Net Long
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