Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 16.4 -7.4%
- Bloomberg Global Risk On/Risk Off Index 3,148.0 +175.0 points
- Euro/Yen Carry Return Index 134.38 -.21%
- Emerging Markets Currency Volatility(VXY) 9.0 +.9%
- S&P 500 Implied Correlation 48.7 -3.9%
- ISE Sentiment Index 151.0 +31.0 points
- Total Put/Call .72 -2.7%
- NYSE Arms 1.35 +95.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 51.1 -.7%
- US Energy High-Yield OAS 378.03 -1.8%
- European Financial Sector CDS Index 56.70 -.4%
- Italian/German 10Y Yld Spread 121.0 +2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 88.5 -1.1%
- Emerging Market CDS Index 178.68 -.6%
- China Corp. High-Yield Bond USD ETF(KHYB) 33.6 +1.5%
- 2-Year Swap Spread 24.0 +1.5 basis points
- TED Spread 11.0 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -21.75 -.25 basis point
- MBS 5/10 Treasury Spread 64.0 +.25 basis point
- IHS Markit CMBX BBB- 6 73.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 57.64 -.34%
- 3-Month T-Bill Yield .05% unch.
- Yield Curve 103.0 unch.
- China Iron Ore Spot 89.15 USD/Metric Tonne -.4%
- Citi US Economic Surprise Index 10.7 -8.5 points
- Citi Eurozone Economic Surprise Index -47.3 +2.8 points
- Citi Emerging Markets Economic Surprise Index -27.0 -3.8 points
- 10-Year TIPS Spread 2.76 +5.0 basis points
- 95.0% chance of no change at Jan. 26th meeting, 80.3% chance of no change at March 16th meeting
US Covid-19:
- 155 new infections/100K people(last 7 days total) -7/100K people
- 29% of Jan. 7th, 2021 peak(highest daily avg. new infections) -2.0 percentage points
Overseas Futures:
- Nikkei 225 Futures: Indicating +101 open in Japan
- China A50 Futures: Indicating +63 open in China
- DAX Futures: Indicating -16 open in Germany
Portfolio:
- Higher: On gains in my tech/consumer discretionary/industrial/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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