Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 21.9 +3.0%
- Bloomberg Global Risk On/Risk Off Index 2,917.0 -35.0 points
- Euro/Yen Carry Return Index 132.89 -.38%
- Emerging Markets Currency Volatility(VXY) 9.0 +1.5%
- S&P 500 Implied Correlation 57.5 +1.8%
- ISE Sentiment Index 96.0 -3.0 points
- Total Put/Call 1.0 +21.4%
- NYSE Arms 1.2 +43.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 53.284 +.33%
- US Energy High-Yield OAS 378.76 +.62%
- European Financial Sector CDS Index 58.76 +2.6%
- Italian/German 10Y Yld Spread 107.0 +2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 90.37 +2.2%
- Emerging Market CDS Index 185.32 +1.9%
- China Corp. High-Yield Bond USD ETF(KHYB) 35.82 -.12%
- 2-Year Swap Spread 10.0 unch.
- TED Spread 9.0 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -16.75 -.5 basis point
- MBS 5/10 Treasury Spread 72.75 +1.5 basis points
- IHS Markit CMBX BBB- 6 71.5 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 58.67 -.19%
- 3-Month T-Bill Yield .04% +1.0 basis point
- Yield Curve 126.0 +5.0 basis points
- China Iron Ore Spot 117.5 USD/Metric Tonne -.2%
- Citi US Economic Surprise Index -14.9 -.3 point
- Citi Eurozone Economic Surprise Index -63.9 -9.8 points
- Citi Emerging Markets Economic Surprise Index -4.4 -5.0 points
- 10-Year TIPS Spread 2.45 unch.
- 100.0% chance of no change at Dec. 15th meeting, 100.0% chance of no change at Jan. 26th meeting
US Covid-19:
- 218 new infections/100K people(last 7 days total) -3/100K people
- 41% of Jan. 7th, 2021 peak(highest daily avg. new infections) -1.0 percentage point
Overseas Futures:
- Nikkei 225 Futures: Indicating +232 open in Japan
- China A50 Futures: Indicating -351 open in China
- DAX Futures: Indicating +65 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/medical/consumer discretiony sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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