Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.0 +10.9%
- Euro/Yen Carry Return Index 125.34 +.08%
- Emerging Markets Currency Volatility(VXY) 6.81 -.29%
- S&P 500 Implied Correlation 43.85 +8.6%
- ISE Sentiment Index 75.0 +3
- Total Put/Call .98 unch.
- NYSE Arms .74 -53.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 51.11 +2.37%
- America Energy Sector High-Yield CDS Index 621.0 +.16%
- European Financial Sector CDS Index 57.08 +.97%
- Italian/German 10Y Yld Spread 163.25 +4.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 64.38 +.04%
- Emerging Market CDS Index 206.10 +1.02%
- iBoxx Offshore RMB China Corporate High Yield Index 168.41 +.11%
- 2-Year Swap Spread 2.0 +2.0 basis points
- TED Spread 33.75 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -18.0 -3.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.30 +.27%
- 3-Month T-Bill Yield 1.57% unch.
- Yield Curve .22 +6.0 basis points
- China Iron Ore Spot 86.30 USD/Metric Tonne -.12%
- Citi US Economic Surprise Index 8.7 -4.4 basis points
- Citi Eurozone Economic Surprise Index -3.40 +5.5 points
- Citi Emerging Markets Economic Surprise Index -25.90 +1.2 basis points
- 10-Year TIPS Spread 1.66 +3.0 basis points
- 16.1% chance of Fed rate cut at Jan. 29th meeting, 26.7% chance of cut at March 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -329 open in Japan
- China A50 Futures: Indicating -40 open in China
- DAX Futures: Indicating +40 open in Germany
Portfolio:
- Lower: On losses in my industrial/retail/tech/biotech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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