Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 17.9 +2.0%
- Bloomberg Global Risk On/Risk Off Index 2,959.0 -147.0 points
- Euro/Yen Carry Return Index 132.72 -1.0%
- Emerging Markets Currency Volatility(VXY) 9.9 +2.4%
- S&P 500 Implied Correlation 48.5 +.6%
- ISE Sentiment Index 127.0 -17.0 points
- Total Put/Call .77 +14.9%
- NYSE Arms 1.3 -.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 51.43 +.60%
- US Energy High-Yield OAS 397.90 +3.2%
- European Financial Sector CDS Index 58.21 +1.9%
- Italian/German 10Y Yld Spread 121.0 +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 85.03 -2.4%
- Emerging Market CDS Index 187.49 +1.1%
- China Corp. High-Yield Bond USD ETF(KHYB) 33.4 +.54%
- 2-Year Swap Spread 26.25 +2.0 basis points
- TED Spread 11.75 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -25.75 -1.75 basis points
- MBS 5/10 Treasury Spread 63.75 -.75 basis point
- IHS Markit CMBX BBB- 6 72.75 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 55.86 -.59%
- 3-Month T-Bill Yield .05% +1.0 basis point
- Yield Curve 109.0 +1.0 basis point
- China Iron Ore Spot 91.90 USD/Metric Tonne +4.1%
- Citi US Economic Surprise Index 32.0 +.1 point
- Citi Eurozone Economic Surprise Index -46.8 -1.2 points
- Citi Emerging Markets Economic Surprise Index -19.1 +.4 point
- 10-Year TIPS Spread 2.68 -4.0 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:
- 207 new infections/100K people(last 7 days total) +16/100K people
- 39% of Jan. 7th, 2021 peak(highest daily avg. new infections) +3.0 percentage points
Overseas Futures:
- Nikkei 225 Futures: Indicating -95 open in Japan
- China A50 Futures: Indicating -59 open in China
- DAX Futures: Indicating -13 open in Germany
Portfolio:
- Slightly Higher: On gains in my medical/tech sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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