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) 19.2 +2.3%
- Bloomberg Global Risk On/Risk Off Index 3,463.0 +155.0 points
- Euro/Yen Carry Return Index 135.10 +.7%
- Emerging Markets Currency Volatility(VXY) 8.9 +.22%
- S&P 500 Implied Correlation 56.2 +1.9%
- ISE Sentiment Index 94.0 -6.0 points
- Total Put/Call .88 -15.4%
- NYSE Arms 1.14 +54.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 53.89 +.16%
- US Energy High-Yield OAS 373.39 n/a
- European Financial Sector CDS Index 60.02 +2.3%
- Italian/German 10Y Yld Spread 104.0 +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 94.85 +7.0%
- Emerging Market CDS Index 182.27 -.02%
- China Corp. High-Yield Bond USD ETF(KHYB) 33.85 -2.4%
- 2-Year Swap Spread 10.75 -.25 basis point
- TED Spread 7.5 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -18.75 unch.
- MBS 5/10 Treasury Spread 71.25 unch.
- IHS Markit CMBX BBB- 6 71.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 58.55 -.11%
- 3-Month T-Bill Yield .05% n/a
- Yield Curve 127.0 n/a
- China Iron Ore Spot 131.70 USD/Metric Tonne +2.7%
- Citi US Economic Surprise Index -22.4 -5.0 points
- Citi Eurozone Economic Surprise Index -74.8 +1.9 points
- Citi Emerging Markets Economic Surprise Index -6.4 -1.9 points
- 10-Year TIPS Spread 2.51 n/a
- 100.0% chance of no change at Dec. 15th meeting, 100.0% chance of no change at Jan. 26th meeting
US Covid-19:
- 202 new infections/100K people(last 7 days total) -9/100K people
- 38% of Jan. 7th, 2021 peak(highest daily avg. new infections) -2.0 percentage points
Overseas Futures:
- Nikkei 225 Futures: Indicating +92 open in Japan
- China A50 Futures: Indicating -89 open in China
- DAX Futures: Indicating -55 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/commodity sector longs and emerging market shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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