Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 17.3 +5.2%
- Bloomberg Global Risk On/Risk Off Index 3,056.0 -29.0 points
- Euro/Yen Carry Return Index 135.30 +.04%
- Emerging Markets Currency Volatility(VXY) 8.88 -.22%
- S&P 500 Implied Correlation 49.9 -.3%
- ISE Sentiment Index 161.0 +34.0 points
- Total Put/Call .63 -19.2%
- NYSE Arms .70 -.32%
Credit Investor Angst:
- North American Investment Grade CDS Index 49.57 -.02%
- US Energy High-Yield OAS 378.67 +6.6%
- European Financial Sector CDS Index 54.53 -.65%
- Italian/German 10Y Yld Spread 114.0 -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 91.19 +6.4%
- Emerging Market CDS Index 174.36 -1.06%
- China Corp. High-Yield Bond USD ETF(KHYB) 32.6 -1.2%
- 2-Year Swap Spread 19.5 -.5 basis point
- TED Spread 10.5 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -19.5 +.25 basis point
- MBS 5/10 Treasury Spread 62.75 -1.5 basis points
- IHS Markit CMBX BBB- 6 72.75 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 58.22 +.27%
- 3-Month T-Bill Yield .04% unch.
- Yield Curve 105.0 -7.0 basis points
- China Iron Ore Spot 93.80 USD/Metric Tonne +1.1%
- Citi US Economic Surprise Index 3.8 +5.6 points
- Citi Eurozone Economic Surprise Index -56.6 +4.7 points
- Citi Emerging Markets Economic Surprise Index -21.9 +3.3 points
- 10-Year TIPS Spread 2.61 +4.0 basis points
- 97.5% chance of no change at Jan. 26th meeting, 88.1% chance of no change at March 16th meeting
US Covid-19:
- 155 new infections/100K people(last 7 days total) +3/100K people
- 29% of Jan. 7th, 2021 peak(highest daily avg. new infections) unch.
Overseas Futures:
- Nikkei 225 Futures: Indicating +163 open in Japan
- China A50 Futures: Indicating +48 open in China
- DAX Futures: Indicating -13 open in Germany
Portfolio:
- Higher: On gains in my tech/industrial/consumer discretionary/commodity/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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