Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.72 +1.91%
- Euro/Yen Carry Return Index 139.40 +.87%
- Emerging Markets Currency Volatility(VXY) 8.14 -.49%
- S&P 500 Implied Correlation 19.77 +19.17%
- ISE Sentiment Index 93.0 +4.49%
- Total Put/Call .90 -1.1%
- NYSE Arms 1.57 +50.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 57.07 +1.34%
- America Energy Sector High-Yield CDS Index 371.0 +2.03%
- European Financial Sector CDS Index 52.95 +1.98%
- Western Europe Sovereign Debt CDS Index 3.87 +1.04%
- Asia Pacific Sovereign Debt CDS Index 15.88 -2.82%
- Emerging Market CDS Index 193.82 +.55%
- iBoxx Offshore RMB China Corporate High Yield Index 145.34 +.04%
- 2-Year Swap Spread 18.5 -1.0 basis point
- TED Spread 19.0 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -46.50 +2.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.32 unch.
- 3-Month T-Bill Yield 1.24% +4.0 basis points
- Yield Curve 69.0 -2.75 basis points
- China Import Iron Ore Spot $63.17/Metric Tonne +1.58%
- Citi US Economic Surprise Index 37.40 -.6 point
- Citi Eurozone Economic Surprise Index 60.90 +3.1 basis points
- Citi Emerging Markets Economic Surprise Index 12.30 -.8 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 -40 open in Japan
- China A50 Futures: Indicating -26 open in China
- DAX Futures: Indicating +9 open in Germany
Portfolio:
- Slightly Higher: On gains in my retail/tech sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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