Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.33 -2.06%
- Euro/Yen Carry Return Index 144.70 -.09%
- Emerging Markets Currency Volatility(VXY) 11.1 -4.56%
- S&P 500 Implied Correlation 55.38 -.47%
- ISE Sentiment Index 80.0 +63.27%
- Total Put/Call .89 -14.42%
- NYSE Arms 1.23 +58.25%
Credit Investor Angst:
- North American Investment Grade CDS Index 76.15 +.21%
- America Energy Sector High-Yield CDS Index 1,905.0 +.96%
- European Financial Sector CDS Index 75.95 -3.75%
- Western Europe Sovereign Debt CDS Index 23.07 +1.32%
- Asia Pacific Sovereign Debt CDS Index 68.43 -3.17%
- Emerging Market CDS Index 341.88 +1.94%
- iBoxx Offshore RMB China Corporates High Yield Index 119.91 -.75%
- 2-Year Swap Spread 24.25 -.75 basis point
- TED Spread 21.25 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -19.75 +.25 basis point
Economic Gauges:
- 3-Month T-Bill Yield .08% -2.0 basis points
- Yield Curve 148.0 unch.
- China Import Iron Ore Spot $57.02/Metric Tonne +1.26%
- Citi US Economic Surprise Index -5.4 -1.3 points
- Citi Eurozone Economic Surprise Index 12.2 +.2 point
- Citi Emerging Markets Economic Surprise Index -7.4 +.3 point
- 10-Year TIPS Spread 1.63 -1.0 basis point
- # of Months to 1st Fed Rate Hike(Morgan Stanley) 5.13 +.33
Overseas Futures:
- Nikkei 225 Futures: Indicating +28 open in Japan
- China A50 Futures: Indicating -50 open in China
- DAX Futures: Indicating +11 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/retail/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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