- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 23.8 +5.7%
- Bloomberg Global Risk On/Risk Off Index 1,169.0 -137.0 points
- Euro/Yen Carry Return Index 130.43 -.44%
- Emerging Markets Currency Volatility(VXY) 10.3 +.20%
- S&P 500 Implied Correlation 48.4 +.81%
- ISE Sentiment Index 146.0 +56.0 points
- Total Put/Call .98 +40.0%
- NYSE Arms 1.57 +68.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 53.60 +1.44%
- US Energy High-Yield OAS 592.85 -.08%
- European Financial Sector CDS Index 63.80 +7.5%
- Italian/German 10Y Yld Spread 119.0 +2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 58.57 +.89%
- Emerging Market CDS Index 165.69 +1.31%
- iBoxx Offshore RMB China Corporate High Yield Index 181.99 +.04%
- 2-Year Swap Spread 7.5 +.5 basis point
- TED Spread 15.5 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -21.75 -2.25 basis points
- MBS 5/10 Treasury Spread 72.0 -2.5 basis points
- IHS Markit CMBX BBB- 6 72.5 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 62.37 -.12%
- 3-Month T-Bill Yield .07% unch.
- Yield Curve 77.25 -.75 basis point
- China Iron Ore Spot 157.82 USD/Metric Tonne +.67%
- Citi US Economic Surprise Index 78.20 +9.0 points
- Citi Eurozone Economic Surprise Index 141.2 +.4 point
- Citi Emerging Markets Economic Surprise Index 66.70 +5.9 points
- 10-Year TIPS Spread 1.87 -3.0 basis points
- 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 -122 open in Japan
- China A50 Futures: Indicating -12 open in China
- DAX Futures: Indicating +15 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/industrial sector longs, index hedges and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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