Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 21.8 +5.5%
- Euro/Yen Carry Return Index 133.18 -.72%
- Emerging Markets Currency Volatility(VXY) 9.97 -.89%
- S&P 500 Implied Correlation 49.85 +1.6%
- ISE Sentiment Index 107.0 +8.08%
- Total Put/Call 1.04 -12.6%
- NYSE Arms 1.29 +57.32%
Credit Investor Angst:
- North American Investment Grade CDS Index 79.06 +2.58%
- America Energy Sector High-Yield CDS Index 668.0 -.30%
- European Financial Sector CDS Index 102.74 +2.61%
- Italian/German 10Y Yld Spread 268.75 +1.5 basis points
- Asia Pacific Sovereign Debt CDS Index 9.71 +3.63%
- Emerging Market CDS Index 198.57 +.23%
- iBoxx Offshore RMB China Corporate High Yield Index 149.60 +.01%
- 2-Year Swap Spread 14.75 +.25 basis point
- TED Spread 37.75 +1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -9.5 -3.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.66 -.49%
- 3-Month T-Bill Yield 2.42% +1.0 basis point
- Yield Curve 15.50 +.5 basis point
- China Iron Ore Spot 68.10 USD/Metric Tonne -.13%
- Citi US Economic Surprise Index -7.3 -3.1 points
- Citi Eurozone Economic Surprise Index -76.20 -32.6 points
- Citi Emerging Markets Economic Surprise Index -1.5 -2.1 points
- 10-Year TIPS Spread 1.83-1.0 basis point
- 74.3% chance of Fed rate hike at Jan. 30th meeting, 83.2% chance at March 20th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -114 open in Japan
- China A50 Futures: Indicating +26 open in China
- DAX Futures: Indicating -20 open in Germany
Portfolio:
- Slightly Higher: On gains in my emerging market shorts and index hedges
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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