- Advance/Decline Line: Substantially Lower
- Sector Performance: Every Sector Declining
- Volume: Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 27.2 +30.6%
- Bloomberg Global Risk On/Risk Off Index 2,386.0 -519.0 points
- Euro/Yen Carry Return Index 132.38 -.56%
- Emerging Markets Currency Volatility(VXY) 8.99 +3.1%.
- S&P 500 Implied Correlation 57.81 +2.81%
- ISE Sentiment Index 103.0 -1.0 points
- Total Put/Call 1.08 +12.5%
- NYSE Arms 1.78 -61.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 54.14 +15.8%
- US Energy High-Yield OAS 393.15 +4.5%
- European Financial Sector CDS Index 59.02 +15.8%
- Italian/German 10Y Yld Spread 104.0 +4.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 93.27 +31.2%
- Emerging Market CDS Index 171.12 +10.5%
- China Corp. High-Yield Bond USD ETF(KHYB) 37.3 -.73%
- 2-Year Swap Spread 11.0 unch.
- TED Spread 9.25 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -4.25 +.5 basis point
- MBS 5/10 Treasury Spread 75.0 +1.25 basis points
- IHS Markit CMBX BBB- 6 71.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 59.32 -.49%
- 3-Month T-Bill Yield .02% -1.0 basis point
- Yield Curve 112.0 +3.0 basis points
- China Iron Ore Spot 95.20 USD/Metric Tonne -2.1%
- Citi US Economic Surprise Index -39.2 +6.1 points
- Citi Eurozone Economic Surprise Index -23.3 -4.1 points
- Citi Emerging Markets Economic Surprise Index 3.8 -1.3 points
- 10-Year TIPS Spread 2.31 -4.0 basis points
- 100.0% chance of no change at Nov. 3rd meeting, 100.0% chance of no change at Dec. 15th meeting
US Covid-19:
- 314 new infections/100K people(last 7 days total) -13/100K people
- 59% of Jan. 7th, 2021 peak(highest daily avg. new infections) -2.0 percentage points
Overseas Futures:
- Nikkei 225 Futures: Indicating -1,100 open in Japan
- China A50 Futures: Indicating -550 open in China
- DAX Futures: Indicating -75 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech/tech sector longs,
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 25% Net Long
No comments:
Post a Comment