Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Slightly Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 15.75 +3.01%
- Euro/Yen Carry Return Index 138.82%
- Emerging Markets Currency Volatility(VXY) 10.87 -.91%
- S&P 500 Implied Correlation 60.29 +3.17%
- ISE Sentiment Index 163.0 +21.64%
- Total Put/Call 1.10 +13.4%
- NYSE Arms .95 -18.87%
Credit Investor Angst:
- North American Investment Grade CDS Index 78.65 +1.13%
- America Energy Sector High-Yield CDS Index 1,107.0 +4.27%
- European Financial Sector CDS Index 69.97 +1.41%
- Western Europe Sovereign Debt CDS Index 18.81 +.03%
- Asia Pacific Sovereign Debt CDS Index 73.99 +2.91%
- Emerging Market CDS Index 326.85 +1.37%
- iBoxx Offshore RMB China Corporates High Yield Index 122.26 -.02%
- 2-Year Swap Spread 11.5 +.25 basis point
- TED Spread 31.75 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -27.5 +2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.83 -.43%
- 3-Month T-Bill Yield .02% +1.0 basis point
- Yield Curve 141.0 -1.0 basis point
- China Import Iron Ore Spot $51.50/Metric Tonne +.92%
- Citi US Economic Surprise Index -10.10 -2.4 points
- Citi Eurozone Economic Surprise Index 18.1 -2.2 points
- Citi Emerging Markets Economic Surprise Index -13.50 -.2 point
- 10-Year TIPS Spread 1.49 unch.
- # of Months to 1st Fed Rate Hike(Morgan Stanley) 5.40 -.05
Overseas Futures:
- Nikkei 225 Futures: Indicating +108 open in Japan
- China A50 Futures: Indicating -46 open in China
- DAX Futures: Indicating +5 open in Germany
Portfolio:
- Higher: On gains in my biotech/medical sector longs, index hedges and emerging markets shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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