Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 24.55 -1.29%
- Euro/Yen Carry Return Index 140.99 +.56%
- Emerging Markets Currency Volatility(VXY) 12.37 -.55%
- S&P 500 Implied Correlation 64.54 +1.78%
- ISE Sentiment Index 72.0 +4.0%
- Total Put/Call .94 +1.08%
- NYSE Arms 1.53 +300.77%
Credit Investor Angst:
- North American Investment Grade CDS Index 80.33 +1.32%
- America Energy Sector High-Yield CDS Index 1,908.0 -.83%
- European Financial Sector CDS Index 79.55 -3.51%
- Western Europe Sovereign Debt CDS Index 20.85 -4.66%
- Asia Pacific Sovereign Debt CDS Index 82.50 -2.50%
- Emerging Market CDS Index 351.0 -.45%
- iBoxx Offshore RMB China Corporates High Yield Index 116.94 +.19%
- 2-Year Swap Spread 11.75 -1.0 basis point
- TED Spread 28.25 -2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -24.0 unch.
Economic Gauges:
- 3-Month T-Bill Yield .02% -1.0 basis point
- Yield Curve 144.0 -1.0 basis point
- China Import Iron Ore Spot $58.18/Metric Tonne +1.32%
- Citi US Economic Surprise Index -16.9 -.3 point
- Citi Eurozone Economic Surprise Index 22.7 -.1 point
- Citi Emerging Markets Economic Surprise Index -25.6 unch.
- 10-Year TIPS Spread 1.55 +2.0 basis points
- # of Months to 1st Fed Rate Hike(Morgan Stanley) 4.04 -.28
Overseas Futures:
- Nikkei 225 Futures: Indicating -380 open in Japan
- China A50 Futures: Indicating -339 open in China
- DAX Futures: Indicating -61 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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