Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 22.4 -.22%
- Bloomberg Global Risk On/Risk Off Index 1,143.0 -36.0 points
- Euro/Yen Carry Return Index 128.0 -.27%
- Emerging Markets Currency Volatility(VXY) 10.55 unch.
- S&P 500 Implied Correlation 38.1 +2.1%
- ISE Sentiment Index 123.0 +2.0 points
- Total Put/Call .85 +18.1%
- NYSE Arms .67 -13.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 52.50 -.12%
- US Energy High-Yield OAS 725.60 -.18%
- European Financial Sector CDS Index 63.64 +1.15%
- Italian/German 10Y Yld Spread 120.0 unch.
- Asia Ex-Japan Investment Grade CDS Index 60.11 -.41%
- Emerging Market CDS Index 173.67 +2.57%
- iBoxx Offshore RMB China Corporate High Yield Index 181.54 +.02%
- 2-Year Swap Spread 8.75 unch.
- TED Spread 14.5 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -13.0 +2.25 basis points
- MBS 5/10 Treasury Spread 73.25 -.25 basis point
- IHS Markit CMBX BBB- 6 70.1 +.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.16 +.24%
- 3-Month T-Bill Yield .08% unch.
- Yield Curve 73.5 +2.5 basis points
- China Iron Ore Spot 122.99 USD/Metric Tonne +.66%
- Citi US Economic Surprise Index 67.9 +1.9 points
- Citi Eurozone Economic Surprise Index 102.4 +3.7 points
- Citi Emerging Markets Economic Surprise Index 59.3 -.6 point
- 10-Year TIPS Spread 1.72 -1.0 basis point
- 100.0% chance of no change at Jan. 27th meeting, 100.0% chance of no change at March 17th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +41 open in Japan
- China A50 Futures: Indicating +34 open in China
- DAX Futures: Indicating +19 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
- Market Exposure: 50% Net Long
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