Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.2 +3.1%
- Euro/Yen Carry Return Index 124.76 -.08%
- Emerging Markets Currency Volatility(VXY) 7.21 -.55%
- S&P 500 Implied Correlation 43.91 +3.37%
- ISE Sentiment Index 61.0 -24
- Total Put/Call 1.19 +17.8%
- NYSE Arms .49 -57.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 52.85 +.36%
- America Energy Sector High-Yield CDS Index 585.0 +1.49%
- European Financial Sector CDS Index 58.95 -1.37%
- Italian/German 10Y Yld Spread 150.25 -4.5 basis points
- Asia Ex-Japan Investment Grade CDS Index 65.86 +.77%
- Emerging Market CDS Index 203.95 -.91%
- iBoxx Offshore RMB China Corporate High Yield Index 167.75 +.01%
- 2-Year Swap Spread -1.75 -.75 basis point
- TED Spread 34.0 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -11.75 -2.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.51 -.18%
- 3-Month T-Bill Yield 1.56% +1.0 basis point
- Yield Curve .17 unch.
- China Iron Ore Spot 85.13 USD/Metric Tonne +3.05%
- Citi US Economic Surprise Index -2.0 -.9 basis point
- Citi Eurozone Economic Surprise Index -15.50 +.4 point
- Citi Emerging Markets Economic Surprise Index -27.0 -.1 basis point
- 10-Year TIPS Spread 1.64 +2.0 basis points
- 19.3% chance of Fed rate cut at Jan. 29th meeting, 31.1% chance of cut at March 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +77 open in Japan
- China A50 Futures: Indicating +19 open in China
- DAX Futures: Indicating +34 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/industrial sector longs and index hedges
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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