Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 18.0 +.6%
- Bloomberg Global Risk On/Risk Off Index 3,051.0 +80.0 points
- Euro/Yen Carry Return Index 133.22 +.3%
- Emerging Markets Currency Volatility(VXY) 9.99 +.5%
- S&P 500 Implied Correlation 49.1 unch.
- ISE Sentiment Index 115.0 -10.0 points
- Total Put/Call .74 -6.3%
- NYSE Arms .73 -47.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 51.85 +.34%
- US Energy High-Yield OAS 394.28 -1.11%
- European Financial Sector CDS Index 58.45 +.41%
- Italian/German 10Y Yld Spread 126.0 +5.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 83.86 -1.4%
- Emerging Market CDS Index 192.70 +2.7%
- China Corp. High-Yield Bond USD ETF(KHYB) 33.48 +.31%
- 2-Year Swap Spread 26.75 +.5 basis point
- TED Spread 12.25 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -30.75 -5.0 basis points
- MBS 5/10 Treasury Spread 64.5 +.75 basis point
- IHS Markit CMBX BBB- 6 73.0 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 55.56 -.61%
- 3-Month T-Bill Yield .04% -1.0 basis point
- Yield Curve 104.0 -5.0 basis point
- China Iron Ore Spot 96.80 USD/Metric Tonne +3.7%
- Citi US Economic Surprise Index 34.9 +2.9 points
- Citi Eurozone Economic Surprise Index -43.6 +3.2 points
- Citi Emerging Markets Economic Surprise Index -17.4 +1.7 points
- 10-Year TIPS Spread 2.62 -6.0 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:
- 201 new infections/100K people(last 7 days total) -6/100K people
- 38% of Jan. 7th, 2021 peak(highest daily avg. new infections) -1.0 percentage point
Overseas Futures:
- Nikkei 225 Futures: Indicating +56 open in Japan
- China A50 Futures: Indicating -19 open in China
- DAX Futures: Indicating +18 open in Germany
Portfolio:
- Higher: On gains in my medical/tech/industrial/consumer discretionary/transport 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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