Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Heavy
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 27.5 +47.9%
- Bloomberg Global Risk On/Risk Off Index 2,105.0 -1,021.0 points
- Euro/Yen Carry Return Index 132.21 -.88%
- Emerging Markets Currency Volatility(VXY) 10.6 unch.
- S&P 500 Implied Correlation 49.1 n/a
- ISE Sentiment Index 125.0 +26.0 points
- Total Put/Call .91 +1.1%
- NYSE Arms 1.18 +34.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 57.68 +9.3%
- US Energy High-Yield OAS 428.70 +7.2%
- European Financial Sector CDS Index 66.81 +7.1%
- Italian/German 10Y Yld Spread 131.0 +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 93.5 +7.4%
- Emerging Market CDS Index 221.27 +9.8%
- China Corp. High-Yield Bond USD ETF(KHYB) 32.9 -.86%
- 2-Year Swap Spread 22.5 -.75 basis point
- TED Spread 13.5 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -32.0 -3.25 basis points
- MBS 5/10 Treasury Spread 69.0 +2.0 basis points
- IHS Markit CMBX BBB- 6 72.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 54.24 -1.2%
- 3-Month T-Bill Yield .04% -2.0 basis points
- Yield Curve 98.0 -6.0 basis points
- China Iron Ore Spot 97.10 USD/Metric Tonne -4.1%
- Citi US Economic Surprise Index 26.4 -.1 point
- Citi Eurozone Economic Surprise Index -14.6 +1.0 point
- Citi Emerging Markets Economic Surprise Index -15.0 +.4 point
- 10-Year TIPS Spread 2.55 -7.0 basis points
- 97.5% chance of no change at Jan. 26th meeting, 82.4% chance of no change at March 16th meeting
US Covid-19:
- 188 new infections/100K people(last 7 days total) -22/100K people
- 35% of Jan. 7th, 2021 peak(highest daily avg. new infections) -4.0 percentage points
Overseas Futures:
- Nikkei 225 Futures: Indicating -566 open in Japan
- China A50 Futures: Indicating -121 open in China
- DAX Futures: Indicating +8 open in Germany
Portfolio:
- Lower: On losses in my industrial/commodity/tech/transport sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and took profits in my commodity longs
- Market Exposure: Moved to 50% Net Long
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