Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 19.5 +.4%
- Bloomberg Global Risk On/Risk Off Index 3,077.0 -29.0 points
- Euro/Yen Carry Return Index 133.44 -.23%
- Emerging Markets Currency Volatility(VXY) 10.8 +1.0%
- S&P 500 Implied Correlation 49.1 n/a
- ISE Sentiment Index 86.0 -14.0 points
- Total Put/Call .86 +2.4%
- NYSE Arms .73 +17.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 53.18 +.54%
- US Energy High-Yield OAS 399.78 +.26%
- European Financial Sector CDS Index 61.09 +1.1%
- Italian/German 10Y Yld Spread 130.0 +2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 86.75 +1.7%
- Emerging Market CDS Index 201.91 +1.4%
- China Corp. High-Yield Bond USD ETF(KHYB) 33.48 unch.
- 2-Year Swap Spread 23.25 +.5 basis point
- TED Spread 13.0 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -29.25 +.5 basis point
- MBS 5/10 Treasury Spread 67.0 +2.0 basis points
- IHS Markit CMBX BBB- 6 72.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 54.90 +1.0%
- 3-Month T-Bill Yield .06% +1.0 basis point
- Yield Curve 104.0 unch.
- China Iron Ore Spot 105.95 USD/Metric Tonne +4.6%
- Citi US Economic Surprise Index 26.5 -4.6 points
- Citi Eurozone Economic Surprise Index -15.6 +1.1 points
- Citi Emerging Markets Economic Surprise Index -15.4 +1.2 points
- 10-Year TIPS Spread 2.62 unch.
- 95.3% chance of no change at Jan. 26th meeting, 70.6% chance of no change at March 16th meeting
US Covid-19:
- 210 new infections/100K people(last 7 days total) +7/100K people
- 39% of Jan. 7th, 2021 peak(highest daily avg. new infections) +1.0 percentage point
Overseas Futures:
- Nikkei 225 Futures: Indicating +100 open in Japan
- China A50 Futures: Indicating -34 open in China
- DAX Futures: Indicating +10 open in Germany
Portfolio:
- Higher: On gains in my medical/commodity/tech sector longs and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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