Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 13.19 -6.19%
- Euro/Yen Carry Return Index 140.90 +.75%
- Emerging Markets Currency Volatility(VXY) 9.53 +1.06%
- S&P 500 Implied Correlation 60.78 -.15%
- ISE Sentiment Index 86.0 -35.82%
- Total Put/Call 1.13 unch.
- NYSE Arms .93 -57.52%
Credit Investor Angst:
- North American Investment Grade CDS Index 63.06 -1.51%
- America Energy Sector High-Yield CDS Index 1,097.0 +.76%
- European Financial Sector CDS Index 73.24 -4.44%
- Western Europe Sovereign Debt CDS Index 22.40 -5.58%
- Asia Pacific Sovereign Debt CDS Index 59.01 -.71%
- Emerging Market CDS Index 286.04 +.25%
- iBoxx Offshore RMB China Corporates High Yield Index 119.89 -.04%
- 2-Year Swap Spread 23.25 -3.0 basis points
- TED Spread 27.5 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -22.25 +.75 basis point
Economic Gauges:
- 3-Month T-Bill Yield .01% unch.
- Yield Curve 149.0 -3.0 basis points
- China Import Iron Ore Spot $63.10/Metric Tonne +.51%
- Citi US Economic Surprise Index -55.60 +1.2 points
- Citi Eurozone Economic Surprise Index -11.0 +.2 point
- Citi Emerging Markets Economic Surprise Index -17.3 +.1 point
- 10-Year TIPS Spread 1.82 -3.0 basis points
Overseas Futures:
- Nikkei 225 Futures: Indicating +203 open in Japan
- China A50 Futures: Indicating -85 open in China
- DAX Futures: Indicating +12 open in Germany
Portfolio:
- Slightly Higher: On gains in my retail/tech/biotech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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