Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Heavy
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 12.9 +.5%
- Euro/Yen Carry Return Index 125.46 -.01%
- Emerging Markets Currency Volatility(VXY) 7.36 +1.5%
- S&P 500 Implied Correlation 27.9 +2.2%
- ISE Sentiment Index 112.0 n/a
- Total Put/Call .84 +31.3%
- NYSE Arms .83 +2.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 51.21 -.97%
- America Energy Sector High-Yield CDS Index 486.0 -2.94%
- European Financial Sector CDS Index 55.58 -.03%
- Italian/German 10Y Yld Spread 133.75 -1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 63.50 -2.3%
- Emerging Market CDS Index 192.51 +2.01%
- iBoxx Offshore RMB China Corporate High Yield Index 167.35 +.05%
- 2-Year Swap Spread 4.25 unch.
- TED Spread 37.75 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -13.25 +1.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.36 -.06%
- 3-Month T-Bill Yield 1.54% +1.0 basis point
- Yield Curve .21+5.0 basis points
- China Iron Ore Spot 80.20 USD/Metric Tonne +.1%
- Citi US Economic Surprise Index 7.50 +2.5 points
- Citi Eurozone Economic Surprise Index -36.50 -.3 point
- Citi Emerging Markets Economic Surprise Index -25.50 +.2 basis point
- 10-Year TIPS Spread 1.68 +3.0 basis points
- 25.8% chance of Fed rate cut at Jan. 29th meeting, 35.9% chance of cut at March 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +130 open in Japan
- China A50 Futures: Indicating +17 open in China
- DAX Futures: Indicating +3 open in Germany
Portfolio:
- Higher: On gains in my tech/industrial/retail/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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