Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Slightly Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.65 -5.06%
- Euro/Yen Carry Return Index 138.58 -.29%
- Emerging Markets Currency Volatility(VXY) 10.85 +.56%
- S&P 500 Implied Correlation 57.92 -2.21%
- ISE Sentiment Index 87.0 +5.0%
- Total Put/Call .76 -23.23%
- NYSE Arms 1.24 +24.84%
Credit Investor Angst:
- North American Investment Grade CDS Index 79.14 +1.30%
- America Energy Sector High-Yield CDS Index 1,134.0 +1.93%
- European Financial Sector CDS Index 68.51 -2.09%
- Western Europe Sovereign Debt CDS Index 18.39 -3.11%
- Asia Pacific Sovereign Debt CDS Index 72.89 -1.17%
- Emerging Market CDS Index 323.11 -.95%
- iBoxx Offshore RMB China Corporates High Yield Index 122.28 +.02%
- 2-Year Swap Spread 10.0 -1.5 basis points
- TED Spread 30.75 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -29.75 -2.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.78 -.09%
- 3-Month T-Bill Yield .04% +2.0 basis points
- Yield Curve 139.0 -2.0 basis points
- China Import Iron Ore Spot $49.95/Metric Tonne -3.01%
- Citi US Economic Surprise Index -10.0 +.1 point
- Citi Eurozone Economic Surprise Index 19.9 +1.8 points
- Citi Emerging Markets Economic Surprise Index -13.60 -.1 point
- 10-Year TIPS Spread 1.47 -2.0 basis points
- # of Months to 1st Fed Rate Hike(Morgan Stanley) 5.89 +.49
Overseas Futures:
- Nikkei 225 Futures: Indicating +137 open in Japan
- China A50 Futures: Indicating +49 open in China
- DAX Futures: Indicating -12 open in Germany
Portfolio:
- Higher: On gains in my retail/medical/tech sector longs and emerging markets shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
- Market Exposure: 50% Net Long
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