Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 21.96 -2.62%
- Euro/Yen Carry Return Index 140.54 +.24%
- Emerging Markets Currency Volatility(VXY) 11.95 -.75%
- S&P 500 Implied Correlation 62.13 -.10%
- ISE Sentiment Index 81.0 -15.63%
- Total Put/Call 1.18 +24.21%
- NYSE Arms .70 -.21%
Credit Investor Angst:
- North American Investment Grade CDS Index 94.25 -.84%
- America Energy Sector High-Yield CDS Index 1,125.0 +4.09%
- European Financial Sector CDS Index 94.47 -2.54%
- Western Europe Sovereign Debt CDS Index 21.20 +.14%
- Asia Pacific Sovereign Debt CDS Index 60.26 +.37%
- Emerging Market CDS Index 371.97 -1.80%
- iBoxx Offshore RMB China Corporates High Yield Index 119.69 +.03%
- 2-Year Swap Spread 12.75 unch.
- TED Spread 33.0 -2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -26.50 +3.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.94 +.50%
- 3-Month T-Bill Yield -.01% +2.0 basis points
- Yield Curve 142.0 +3.0 basis points
- China Import Iron Ore Spot $53.14/Metric Tonne -5.17%
- Citi US Economic Surprise Index -29.7 -7.4 points
- Citi Eurozone Economic Surprise Index 31.3 -.3 point
- Citi Emerging Markets Economic Surprise Index -20.30 +.3 point
- 10-Year TIPS Spread 1.49 +3.0 basis points
- # of Months to 1st Fed Rate Hike(Morgan Stanley) 5.24 -.31
Overseas Futures:
- Nikkei 225 Futures: Indicating +67 open in Japan
- China A50 Futures: Indicating n/a open in China
- DAX Futures: Indicating +67 open in Germany
Portfolio:
- Higher: On gains in my biotech/retail/medical/tech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my (EEM) short
- Market Exposure: Moved to 75% Net Long
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