Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 20.3 +8.5%
- Bloomberg Global Risk On/Risk Off Index 2,573.0 -170.0 points
- Euro/Yen Carry Return Index 132.0 -.19%
- Emerging Markets Currency Volatility(VXY) 10.8 +.4%
- CBOE S&P 500 Implied Correlation Index 30.9 +7.7%
- ISE Sentiment Index 103.0 -8.0 points
- Total Put/Call .93 -13.9%
- NYSE Arms 1.40 +82.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 53.44 -.31%
- US Energy High-Yield OAS 414.23 +.21%
- European Financial Sector CDS Index 59.97 -.69%
- Italian/German 10Y Yld Spread 129.0 -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 83.45 -1.37%
- Emerging Market CDS Index 191.89 +.29%
- China Corp. High-Yield Bond USD ETF(KHYB) 33.20 -.34%
- 2-Year Swap Spread 19.5 -1.25 basis points
- TED Spread 15.0 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -14.75 -.75 basis point
- MBS 5/10 Treasury Spread 71.75 +.25 basis point
- IHS Markit CMBX BBB- 6 72.25 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 53.43 -.16%
- 3-Month T-Bill Yield .05% unch.
- Yield Curve 82.25 +2.75 basis points
- China Iron Ore Spot 114.7 USD/Metric Tonne +2.7%
- Citi US Economic Surprise Index 32.5 -2.5 points
- Citi Eurozone Economic Surprise Index 8.6 +1.6 points
- Citi Emerging Markets Economic Surprise Index -10.4 +2.7 points
- 10-Year TIPS Spread 2.44 -4.0 basis points
- 89.8%(-2.1 percentage points) chance of no change at Jan. 26th meeting, 65.4%(+2.0 percentage points) chance of no change at March 16th meeting
US Covid-19:
- 258 new infections/100K people(last 7 days total) +7/100K people
- 49% of Jan. 7th, 2021 peak(highest daily avg. new infections) +2.0 percentage points
Overseas Futures:
- Nikkei 225 Futures: Indicating -60 open in Japan
- China A50 Futures: Indicating -52 open in China
- DAX Futures: Indicating +15 open in Germany
Portfolio:
- Lower: On losses in my tech/consumer discretionary/industrial/transport sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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