Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 17.1 -.2%
- Bloomberg Global Risk On/Risk Off Index 3,114.0 -44.0 points
- Euro/Yen Carry Return Index 134.09 +.6%
- Emerging Markets Currency Volatility(VXY) 9.8 +4.6%
- S&P 500 Implied Correlation 49.3 -1.7%
- ISE Sentiment Index 152.0 +25.0 points
- Total Put/Call .64 -20.0%
- NYSE Arms 1.28 +14.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 50.98 +.07%
- US Energy High-Yield OAS 385.28 +.80%
- European Financial Sector CDS Index 57.14 -.63%
- Italian/German 10Y Yld Spread 120.0 -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 86.91 -2.2%
- Emerging Market CDS Index 185.28 +.46%
- China Corp. High-Yield Bond USD ETF(KHYB) 33.3 +.59%
- 2-Year Swap Spread 24.25 -.25 basis point
- TED Spread 11.5 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -24.0 -2.0 basis points
- MBS 5/10 Treasury Spread 64.5 +.5 basis point
- IHS Markit CMBX BBB- 6 73.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 56.30 -.74%
- 3-Month T-Bill Yield .04% unch.
- Yield Curve 108.0 -3.0 basis points
- China Iron Ore Spot 86.45 USD/Metric Tonne -1.3%
- Citi US Economic Surprise Index 31.9 +6.3 points
- Citi Eurozone Economic Surprise Index -48.0 +.9 point
- Citi Emerging Markets Economic Surprise Index -19.5 -1.1 points
- 10-Year TIPS Spread 2.72 +1.0 basis point
- 95.3% chance of no change at Jan. 26th meeting, 84.7% chance of no change at March 16th meeting
US Covid-19:
- 191 new infections/100K people(last 7 days total) +5/100K people
- 36% of Jan. 7th, 2021 peak(highest daily avg. new infections) +1.0 percentage point
Overseas Futures:
- Nikkei 225 Futures: Indicating -43 open in Japan
- China A50 Futures: Indicating -70 open in China
- DAX Futures: Indicating +1 open in Germany
Portfolio:
- Slightly Higher: On gains in my consumer discretionary/tech sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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