Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.3 +.5%
- Euro/Yen Carry Return Index 125.58 -.02%
- Emerging Markets Currency Volatility(VXY) 7.19 +.56%
- S&P 500 Implied Correlation 32.1 +.6%
- ISE Sentiment Index 93.0 -5.0
- Total Put/Call 1.11 +26.1%
- NYSE Arms .98 +3.16%
Credit Investor Angst:
- North American Investment Grade CDS Index 54.71 +1.09%
- America Energy Sector High-Yield CDS Index 488.0 +.25%
- European Financial Sector CDS Index 59.52 +1.61%
- Italian/German 10Y Yld Spread 134.5 +.75 basis point
- Asia Ex-Japan Investment Grade CDS Index 66.79 +1.0%
- Emerging Market CDS Index 197.51 +2.29%
- iBoxx Offshore RMB China Corporate High Yield Index 167.12 +.01%
- 2-Year Swap Spread 2.25 -.5 basis point
- TED Spread 33.5 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -17.75 +3.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.02 -.47%
- 3-Month T-Bill Yield 1.60% unch.
- Yield Curve .19 -1.0 basis point
- China Iron Ore Spot 80.39 USD/Metric Tonne -.59%
- Citi US Economic Surprise Index 7.8 +6.4 points
- Citi Eurozone Economic Surprise Index -52.20 +.1 point
- Citi Emerging Markets Economic Surprise Index -20.80 -3.8 basis points
- 10-Year TIPS Spread 1.60 -2.0 basis points
- 37.2% chance of Fed rate cut at Jan. 29th meeting, 45.6% chance of cut at March 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +53 open in Japan
- China A50 Futures: Indicating -45 open in China
- DAX Futures: Indicating -9 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/biotech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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