Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 18.5 -5.6%
- Bloomberg Global Risk On/Risk Off Index 3,327.0 +202.0 points
- Euro/Yen Carry Return Index 134.06 +.69%
- Emerging Markets Currency Volatility(VXY) 8.87 -.22%
- S&P 500 Implied Correlation 54.0 -3.6%
- ISE Sentiment Index 108.0 +16.0 points
- Total Put/Call 1.05 +10.5%
- NYSE Arms .58 -19.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 53.71 +.75%
- US Energy High-Yield OAS 373.39 -.66%
- European Financial Sector CDS Index 58.69 +2.0%
- Italian/German 10Y Yld Spread 103.0 -1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 88.64 +2.0%
- Emerging Market CDS Index 182.95 +1.2%
- China Corp. High-Yield Bond USD ETF(KHYB) 34.75 -1.8%
- 2-Year Swap Spread 11.0 +.5 basis point
- TED Spread 7.75 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -18.75 -1.0 basis point
- MBS 5/10 Treasury Spread 71.25 +.25 basis point
- IHS Markit CMBX BBB- 6 71.75 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 58.63 -.21%
- 3-Month T-Bill Yield .04% -1.0 basis point
- Yield Curve 127.0 +3.0 basis points
- China Iron Ore Spot 127.30 USD/Metric Tonne +4.5%
- Citi US Economic Surprise Index -17.4 -1.9 points
- Citi Eurozone Economic Surprise Index -76.7 -1.3 points
- Citi Emerging Markets Economic Surprise Index -4.5 +1.6 points
- 10-Year TIPS Spread 2.51 +4.0 basis points
- 99.5% chance of no change at Dec. 15th meeting, 97.1% chance of no change at Jan. 26th meeting
US Covid-19:
- 211 new infections/100K people(last 7 days total) -3/100K people
- 40% of Jan. 7th, 2021 peak(highest daily avg. new infections) unch.
Overseas Futures:
- Nikkei 225 Futures: Indicating +92 open in Japan
- China A50 Futures: Indicating +28 open in China
- DAX Futures: Indicating -13 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/medical/consumer discretionary sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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