Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 10.7 +9.6%
- Euro/Yen Carry Return Index 137.44 -.15%
- Emerging Markets Currency Volatility(VXY) 8.13 +.12%
- S&P 500 Implied Correlation 17.53 +7.7%
- ISE Sentiment Index 530 -32.0%
- Total Put/Call 1.1 +12.2%
- NYSE Arms .64 -34.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 55.88 +2.16%
- America Energy Sector High-Yield CDS Index 365.0 +2.13%
- European Financial Sector CDS Index 52.0 +.35%
- Western Europe Sovereign Debt CDS Index 4.06 +1.5%
- Asia Pacific Sovereign Debt CDS Index 16.07 +2.32%
- Emerging Market CDS Index 191.46 +1.40%
- iBoxx Offshore RMB China Corporate High Yield Index 145.20 +.01%
- 2-Year Swap Spread 20.25 +.75 basis point
- TED Spread 18.5 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -44.75 +1.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.49 +.07%
- 3-Month T-Bill Yield 1.23% +1.0 basis point
- Yield Curve 69.5 +1.0 basis point
- China Import Iron Ore Spot $62.32/Metric Tonne +.1%
- Citi US Economic Surprise Index 40.0 -1.3 points
- Citi Eurozone Economic Surprise Index 61.40 +1.0 basis point
- Citi Emerging Markets Economic Surprise Index 14.90 -1.0 point
- 10-Year TIPS Spread 1.90 +1.0 basis point
- 100.0% chance of Fed rate hike at Jan. 31 meeting, 100.0% chance at March 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -283 open in Japan
- China A50 Futures: Indicating -13 open in China
- DAX Futures: Indicating -29 open in Germany
Portfolio:
- Lower: On losses in my tech/biotech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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