Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.19 +5.05%
- Euro/Yen Carry Return Index 139.71 -.07%
- Emerging Markets Currency Volatility(VXY) 10.93 +.55%
- S&P 500 Implied Correlation 58.81 -1.94%
- ISE Sentiment Index 141.0 +29.36%
- Total Put/Call .99 +28.57%
- NYSE Arms 1.34 +38.05%
Credit Investor Angst:
- North American Investment Grade CDS Index 77.86 +.66%
- America Energy Sector High-Yield CDS Index 1,067.0 -.67%
- European Financial Sector CDS Index 69.0 +1.94%
- Western Europe Sovereign Debt CDS Index 18.81 -.08%
- Asia Pacific Sovereign Debt CDS Index 72.22 +1.38%
- Emerging Market CDS Index 321.11 -1.05%
- iBoxx Offshore RMB China Corporates High Yield Index 122.28 +.23%
- 2-Year Swap Spread 11.25 -1.25 basis points
- TED Spread 31.75 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -29.5 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.12 -.01%
- 3-Month T-Bill Yield .01% +1.0 basis point
- Yield Curve 142.0 -2.0 basis points
- China Import Iron Ore Spot $51.03/Metric Tonne -1.14%
- Citi US Economic Surprise Index -7.70 -7.6 points
- Citi Eurozone Economic Surprise Index 20.3 -1.9 points
- Citi Emerging Markets Economic Surprise Index -13.30 +.1 point
- 10-Year TIPS Spread 1.49 -3.0 basis points
- # of Months to 1st Fed Rate Hike(Morgan Stanley) 5.45 -1.23
Overseas Futures:
- Nikkei 225 Futures: Indicating +133 open in Japan
- China A50 Futures: Indicating -2 open in China
- DAX Futures: Indicating +5 open in Germany
Portfolio:
- Higher: On gains in my biotech/retail sector longs and emerging markets shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, added to my emerging markets shorts
- Market Exposure: 50% Net Long
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