Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 15.41 -2.10%
- Euro/Yen Carry Return Index 142.10 +.03%
- Emerging Markets Currency Volatility(VXY) 11.12 -.71%
- S&P 500 Implied Correlation 60.52 -3.26%
- ISE Sentiment Index 115.0 +55.41%
- Total Put/Call .94 -6.0%
- NYSE Arms 1.39 +18.33%
Credit Investor Angst:
- North American Investment Grade CDS Index 81.53 +.70%
- America Energy Sector High-Yield CDS Index 1,064.0 +.75%
- European Financial Sector CDS Index 73.75 -1.02%
- Western Europe Sovereign Debt CDS Index 20.61 +4.04%
- Asia Pacific Sovereign Debt CDS Index 78.14 +1.03%
- Emerging Market CDS Index 334.83 +.11%
- iBoxx Offshore RMB China Corporates High Yield Index 121.74 +.06%
- 2-Year Swap Spread 10.75 unch.
- TED Spread 31.25 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -24.75 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.26 -.58%
- 3-Month T-Bill Yield .00% -1.0 basis point
- Yield Curve 141.0 -3.0 basis points
- China Import Iron Ore Spot $52.79/Metric Tonne -.26%
- Citi US Economic Surprise Index -5.60 +1.6 points
- Citi Eurozone Economic Surprise Index 9.0 +1.5 point
- Citi Emerging Markets Economic Surprise Index -15.60 +1.8 points
- 10-Year TIPS Spread 1.46 -2.0 basis points
- # of Months to 1st Fed Rate Hike(Morgan Stanley) 6.37 -.38
Overseas Futures:
- Nikkei 225 Futures: Indicating +49 open in Japan
- China A50 Futures: Indicating -162 open in China
- DAX Futures: Indicating -16 open in Germany
Portfolio:
- Slightly Higher: On gains in my 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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