Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 18.7 +5.2%
- Bloomberg Global Risk On/Risk Off Index 2,822.0 -54.0 points
- Euro/Yen Carry Return Index 134.94 unch.
- Emerging Markets Currency Volatility(VXY) 8.9 +.2%
- S&P 500 Implied Correlation 50.9 -8.1%
- ISE Sentiment Index 133.0 +37.0 points
- Total Put/Call .77 +5.5%
- NYSE Arms .75 -36.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 50.23 +2.4%
- US Energy High-Yield OAS 382.25 +1.4%
- European Financial Sector CDS Index 56.16 +.68%
- Italian/German 10Y Yld Spread 118.0 +4.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 89.5 -3.6%
- Emerging Market CDS Index 179.66 +1.8%
- China Corp. High-Yield Bond USD ETF(KHYB) 32.43 +.47%
- 2-Year Swap Spread 23.0 +2.25 basis points
- TED Spread 10.25 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -21.5 -.75 basis point
- MBS 5/10 Treasury Spread 62.25 -2.25 basis points
- IHS Markit CMBX BBB- 6 72.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 57.92 -.66%
- 3-Month T-Bill Yield .05% +1.0 basis point
- Yield Curve 103.0 -2.0 basis points
- China Iron Ore Spot 88.40 USD/Metric Tonne +1.5%
- Citi US Economic Surprise Index 16.9 +12.0 points
- Citi Eurozone Economic Surprise Index -50.6 +.9 point
- Citi Emerging Markets Economic Surprise Index -21.3 -.4 point
- 10-Year TIPS Spread 2.70 +7.0 basis points
- 97.5% chance of no change at Jan. 26th meeting, 82.4% chance of no change at March 16th meeting
US Covid-19:
- 159 new infections/100K people(last 7 days total) +3/100K people
- 30% of Jan. 7th, 2021 peak(highest daily avg. new infections) unch.
Overseas Futures:
- Nikkei 225 Futures: Indicating +54 open in Japan
- China A50 Futures: Indicating +9 open in China
- DAX Futures: Indicating -59 open in Germany
Portfolio:
- Lower: On losses in my tech/medical/industrial/consumer discretionary/commodity sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 50% Net Long
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