Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 13.67 -4.0%
- Euro/Yen Carry Return Index 146.22 +1.13%
- Emerging Markets Currency Volatility(VXY) 9.47 -.11%
- S&P 500 Implied Correlation 62.38 +.79%
- ISE Sentiment Index 134.0 unch.
- Total Put/Call .92 +1.10%
- NYSE Arms .90 +18.77%
Credit Investor Angst:
- North American Investment Grade CDS Index 64.89 +1.46%
- America Energy Sector High-Yield CDS Index 1,151.0 +.57%
- European Financial Sector CDS Index 74.30 -.73%
- Western Europe Sovereign Debt CDS Index 23.38 -3.71%
- Asia Pacific Sovereign Debt CDS Index 59.72 +.35%
- Emerging Market CDS Index 297.06 +1.75%
- iBoxx Offshore RMB China Corporates High Yield Index 120.02 +.03%
- 2-Year Swap Spread 24.25 +.5 basis point
- TED Spread 27.75 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -18.5 +.5 basis point
Economic Gauges:
- 3-Month T-Bill Yield .01% +1.0 basis point
- Yield Curve 169.0 +8.0 basis points
- China Import Iron Ore Spot $63.33/Metric Tonne +.49%
- Citi US Economic Surprise Index -51.50 +1.6 points
- Citi Eurozone Economic Surprise Index 4.60 +10.1 points
- Citi Emerging Markets Economic Surprise Index -19.0 +.9 point
- 10-Year TIPS Spread 1.85 unch.
Overseas Futures:
- Nikkei 225 Futures: Indicating +121 open in Japan
- China A50 Futures: Indicating -179 open in China
- DAX Futures: Indicating -9 open in Germany
Portfolio:
- Higher: On gains in my biotech/retail/tech sector longs and emerging markets shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
- Market Exposure: 50% Net Long
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