Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 16.2 +8.7%
- Euro/Yen Carry Return Index 124.89 -.35%
- Emerging Markets Currency Volatility(VXY) 6.96 +2.05%
- S&P 500 Implied Correlation 46.1 +2.6%
- ISE Sentiment Index 90.0 +15
- Total Put/Call 1.21 +22.2%
- NYSE Arms 1.23 +35.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 52.36 +2.1%
- America Energy Sector High-Yield CDS Index 636.0 +2.55%
- European Financial Sector CDS Index 58.11 +1.81%
- Italian/German 10Y Yld Spread 163.5 +.25 basis point
- Asia Ex-Japan Investment Grade CDS Index 65.15 +1.46%
- Emerging Market CDS Index 206.10 +1.79%
- iBoxx Offshore RMB China Corporate High Yield Index 168.24 -.10%
- 2-Year Swap Spread 1.25 -.75 basis point
- TED Spread 34.5 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -15.5 +2.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.32 unch.
- 3-Month T-Bill Yield 1.56% -1.0 basis point
- Yield Curve .18 -4.0 basis points
- China Iron Ore Spot 85.79 USD/Metric Tonne -.22%
- Citi US Economic Surprise Index 6.2 -2.5 basis points
- Citi Eurozone Economic Surprise Index -2.30 +1.1 points
- Citi Emerging Markets Economic Surprise Index -27.0 +1.1 basis points
- 10-Year TIPS Spread 1.65 -1.0 basis point
- 14.5% chance of Fed rate cut at Jan. 29th meeting, 32.7% chance of cut at March 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -249 open in Japan
- China A50 Futures: Indicating -82 open in China
- DAX Futures: Indicating +46 open in Germany
Portfolio:
- Slightly Lower: On losses in my industrial/retail/tech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
SOURCE: BETWEEN THE HEDGES – Read entire story here.
