Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 16.1 -4.6%
- Bloomberg Global Risk On/Risk Off Index 3,494.0 +244.0 points
- Euro/Yen Carry Return Index 136.73 +.56%
- Emerging Markets Currency Volatility(VXY) 8.79 -.11%
- S&P 500 Implied Correlation 54.9 +.2%
- ISE Sentiment Index 110.0 +6.0 points
- Total Put/Call .89 +8.5%
- NYSE Arms .69 -20.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 51.90 -.81%
- US Energy High-Yield OAS 359.57 -1.4%
- European Financial Sector CDS Index 57.13 -1.2%
- Italian/German 10Y Yld Spread 104.0 +2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 87.08 -6.3%
- Emerging Market CDS Index 180.38 -.57%
- China Corp. High-Yield Bond USD ETF(KHYB) 34.74 +.17%
- 2-Year Swap Spread 14.25 +.5 basis point
- TED Spread 8.25 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -22.5 -2.0 basis points
- MBS 5/10 Treasury Spread 67.25 -1.75 basis points
- IHS Markit CMBX BBB- 6 71.5 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 58.83 +.19%
- 3-Month T-Bill Yield .04% unch.
- Yield Curve 117.0 -3.0 basis points
- China Iron Ore Spot 120.6 USD/Metric Tonne -.2%
- Citi US Economic Surprise Index -22.1 -2.8 points
- Citi Eurozone Economic Surprise Index -73.7 +.1 point
- Citi Emerging Markets Economic Surprise Index -4.3 -1.2 points
- 10-Year TIPS Spread 2.56 +6.0 basis points
- 99.5% chance of no change at Dec. 15th meeting, 94.5% chance of no change at Jan. 26th meeting
US Covid-19:
- 185 new infections/100K people(last 7 days total) -3/100K people
- 35% of Jan. 7th, 2021 peak(highest daily avg. new infections) unch.
Overseas Futures:
- Nikkei 225 Futures: Indicating +162 open in Japan
- China A50 Futures: Indicating -56 open in China
- DAX Futures: Indicating -13 open in Germany
Portfolio:
- Higher: On gains in my tech/commodity/industrial/medical/consumer discretionary sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
- Market Exposure: Moved to 100% Net Long
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