Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 16.5 -8.5%
- Euro/Yen Carry Return Index 134.05 +.1%
- Emerging Markets Currency Volatility(VXY) 10.15 -.2%
- S&P 500 Implied Correlation 41.23 -4.65%
- ISE Sentiment Index 99.0 -34.4%
- Total Put/Call .75 unch.
- NYSE Arms .77 -10.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 74.59 -1.0%
- America Energy Sector High-Yield CDS Index 667.0 -.98%
- European Financial Sector CDS Index 101.39 -3.14%
- Italian/German 10Y Yld Spread 284.0 -6.0 basis points
- Asia Pacific Sovereign Debt CDS Index 9.31 -4.85%
- Emerging Market CDS Index 200.65 -2.99%
- iBoxx Offshore RMB China Corporate High Yield Index 146.75 -.45%
- 2-Year Swap Spread 17.5 +.75 basis point
- TED Spread 39.5 +2.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -24.75 -2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.46 +.09%
- 3-Month T-Bill Yield 2.33% -3.0 basis points
- Yield Curve 15.75 -4.25 basis points
- China Iron Ore Spot 63.18 USD/Metric Tonne +.17%
- Citi US Economic Surprise Index -2.8 +25 points
- Citi Eurozone Economic Surprise Index -57.60 +5.3 points
- Citi Emerging Markets Economic Surprise Index -4.4 +1.0 point
- 10-Year TIPS Spread 1.97-2.0 basis point
- 82.9% chance of Fed rate hike at Jan. 30th meeting, 91.8% chance at March 20th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +31 open in Japan
- China A50 Futures: Indicating +92 open in China
- DAX Futures: Indicating -4 open in Germany
Portfolio:
- Higher: On gains in my biotech/industrial/tech/medical/retail sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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