Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Underperforming
- Volatility(VIX) 19.46 +10.57%
- Euro/Yen Carry Return Index 139.68 -.21%
- Emerging Markets Currency Volatility(VXY) 10.60 -.56%
- S&P 500 Implied Correlation 58.71 +1.07%
- ISE Sentiment Index 67.0 -36.19%
- Total Put/Call .87 -21.62%
- NYSE Arms .59 -55.39%
- North American Investment Grade CDS Index 86.11 +.34%
- America Energy Sector High-Yield CDS Index 1,587.0 +7.25%
- European Financial Sector CDS Index 72.33 +2.0%
- Western Europe Sovereign Debt CDS Index 16.53 -1.20%
- Asia Pacific Sovereign Debt CDS Index 71.63 +.06%
- Emerging Market CDS Index 344.82 -.25%
- iBoxx Offshore RMB China Corporate High Yield Index 123.88 -.03%
- 2-Year Swap Spread 11.0 -.5 basis point
- TED Spread 19.75 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -32.0 -.75 basis point
- Bloomberg Emerging Markets Currency Index 69.94 +.09%
- 3-Month T-Bill Yield .24% -3.0 basis points
- Yield Curve 130.0 +1.0 basis point
- China Import Iron Ore Spot $39.08/Metric Tonne +1.11%
- Citi US Economic Surprise Index -22.40 +1.2 points
- Citi Eurozone Economic Surprise Index 16.60 -.1 point
- Citi Emerging Markets Economic Surprise Index 11.10 +.1 basis point
- 10-Year TIPS Spread 1.55 -4.0 basis points
- # of Months to 1st Fed Rate Hike(Morgan Stanley) .92 -.20
- Nikkei 225 Futures: Indicating -300 open in Japan
- China A50 Futures: Indicating -284 open in China
- DAX Futures: Indicating -100 open in Germany
- Slightly Higher: On gains in my index hedges and emerging markets shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
- Market Exposure: Moved to 25% Net Long
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