Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 16.2 -1.9%
- Bloomberg Global Risk On/Risk Off Index 3,282.0 +56.0 points
- Euro/Yen Carry Return Index 133.93 +.08%
- Emerging Markets Currency Volatility(VXY) 9.4 +2.8%
- S&P 500 Implied Correlation 48.8 +.2%
- ISE Sentiment Index 155.0 unch.
- Total Put/Call .73 -7.6%
- NYSE Arms 1.30 +73.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 50.5 -.4%
- US Energy High-Yield OAS 380.65 -.47%
- European Financial Sector CDS Index 57.1 -.5%
- Italian/German 10Y Yld Spread 121.0 -1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 88.75 +.2%
- Emerging Market CDS Index 181.75 +1.1%
- China Corp. High-Yield Bond USD ETF(KHYB) 33.31 -.1%
- 2-Year Swap Spread 24.75 +.75 basis point
- TED Spread 11.75 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -23.25 -2.0 basis points
- MBS 5/10 Treasury Spread 63.25 -2.0 basis points
- IHS Markit CMBX BBB- 6 73.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 57.10 -.81%
- 3-Month T-Bill Yield .04% unch.
- Yield Curve 109.0 +4.0 basis points
- China Iron Ore Spot 87.85 USD/Metric Tonne -.01%
- Citi US Economic Surprise Index 27.0 +11.1 points
- Citi Eurozone Economic Surprise Index -44.8 +4.7 points
- Citi Emerging Markets Economic Surprise Index -19.7 +.2 point
- 10-Year TIPS Spread 2.74 -3.0 basis points
- 97.5% chance of no change at Jan. 26th meeting, 78.6% chance of no change at March 16th meeting
US Covid-19:
- 185 new infections/100K people(last 7 days total) +9/100K people
- 35% of Jan. 7th, 2021 peak(highest daily avg. new infections) +2.0 percentage points
Overseas Futures:
- Nikkei 225 Futures: Indicating +42 open in Japan
- China A50 Futures: Indicating -15 open in China
- DAX Futures: Indicating +3 open in Germany
Portfolio:
- Higher: On gains in my consumer discretionary/industrial/commodity/tech/medical sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
No comments:
Post a Comment