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Trading Daily

Market Commentary

STOCKS
Americas:
Dow (Fut)
S&P500 (Fut)
EuroStoxx50 (Fut)
FTSE 100 (Fut)

Status

0.18% 18487.0
0.17% 2180.5

(Opn)
(Opn)

0.74%
0.01%

2992.0
6741.5

(Opn)
(Opn)

2.44% 16650.6
1.57% 22494.8

(Clsd)
(Clsd)

Asia:

Nikkei 225
HangSeng
OPTIONS
VIX (Index)
BONDS
3 Mth Yld
2 Yr Yld
10 Yr Yld
FX
Euro
Pound
Aussie
Yen
COMMODITIES
Oil
Gold

0.17 pts

11.56

(Opn)

0.01%
0.00%
0.00%

0.26%
0.73%
1.59%

(Opn)
(Opn)
(Opn)

% Chg vs USD

$-
$-
$-

0.00%
1.109
-0.07%
1.306
0.24%
0.764
-0.57% 102.400

1.51%
42.43
-0.12% 1333.89
Source: Bloomberg

Source: Bloomberg

No Index Changes Today

Daily US Volume vs S&P Index


Volume
S&P 500

2200

2100

2050
2000

29-Jul

15-Jul

1950

S&P Price Level

2150

1-Jul

16
14
12
10
8
6
4
2
-

17-Jun

Shares (Billions)

Prior
-1.9

Source: Bloomberg

Level

Europe:

Todays Economic Announcements:


Time Economic Statistic/Event
Consensus
10:00 AM Average Monthly Change in Fed Labor Market Conditions Index - LMCI 19
-

% Chg

3-Jun

In the latest edition of Carving Up the Consensus, our US equity


strategy team (led by Lori Calvasina) outlined how views and positioning
among long/short hedge funds, long-only actively managed mutual
funds, and sell-side analysts stack up by industry group, for both US
large caps (stocks in the R1000) and small caps (stocks in the R2000).
Key takeaways include: 1. More pockets of consensus thinking across
the three investor bases than in their May update; 2. Groups that
appear to be overly loved/over owned based on their analysis are large
cap Banks, large cap Semis & Semi Equipment (new to this update),
and small cap Software & Services; 3. Groups that appear to be
uniformly unloved/underowned on their analysis are large cap Capital
Goods (new to this update), small cap Retailing, small cap Household &
Personal Products, small cap Energy (new to this update), and small
cap Telecom (new to this update). Please contact your CS rep or log
onto CS Plus for the full report..

MARKET UPDATE
NY Time: 7:50 AM

20-May

With earnings winding down (~77% of S&P500 has reported) and not
much major macro on the US calendar (highlights will likely be Retail
Sales, PPI, and U-Mich), we may be in line for a light week. Volume last
week was slightly below the 100 day average. Asia and European
equities are helping the cause, with Japans Topix +2% and SHCOMP
+93 bps. Chinas trade balance came in with a higher surplus than
expected, with both exports (-4.4% vs. -3.5% expected) and imports (12.5% vs. -7.0% expected) coming in light. Reminder: China CPI and
PPI data will be released tonight. In Europe, volumes are light overall,
but up in the Healthcare and Insurance spaces. On the data side,
German IP rose 0.8%MoM in June versus - 0.9% in May. Other core
Europe IP reports (including Eurozone) will be released later this week.
In commodities, crude is +1.8%, possibly on comments from Qatars
energy minister that the current decline in oil prices is temporary, and
that he expects higher levels in 2H. According to Bloomberg, Russia
sees no need for renewing discussion of an oil-output freeze at current
crude prices, while leaving open the possibility for the future, and didnt
rule out speaking with his counterparts from OPEC member states at
the meeting of the International Energy Forum in Algiers on Sept. 26-28.

6-May

22-Apr

Todays Highlights (J Mckeever/K Koenig/A Dash/R Cherry)

Monday, August 08, 2016

8-Apr

North America

Printable Version:
.

1900

Source: Bloomberg

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US Trading Daily
8 August 2016

Chart of the Day: June Hedge Fund Outflows Largest Since December (Victor Lin)

According to eVestment, global hedge fund outflows exceeded


$20bn in June, the most since December.

Long/short equity funds had nearly $10bn in redemption, or


equivalent to 1.5% of total assets. Negative sentiment
regarding performance has likely weighed on funds in this
category (see Hedge Fund Bulletin for recent performance).

Other strategies that experienced a high percentage of


redemptions were Macro and Directional Credit - both of which
had more than 2% of assets redeemed.

In contrast, market neutral equity, managed futures, and relative


value credit were the few strategies to receive slight inflows.

Commodity funds attracted new assets of slightly more than


$1bn with gold and oil moves helping to drive popularity.

Note that redemption notices tend to be a minimum of one


month.

Hedge Fund Flows

Source: Credit Suisse Trading Strategy, Evestment

Delta One (John Penney)


ETF Desk Color (Sources: Bloom berg, CS MarketSnap)

Activity on our desk was 73% for sale and hedge funds were 84% of our flows

Hedge funds were selling Large Cap (SPY), Transports (IYT), Gold (GLD), and Dividends (SPHD) via ETF Nitro; buying Small
Cap (IWM) and Mexico (EWW) via ETF Nitro

Institutions were selling Gold (GLD), Small Cap Growth (IWO) and Silver (SLV); buying Hedge Japan (HEWJ) and High Yield
(JNK, HYG, HYS).

Yesterdays Fund Flows (Sources: Bloom berg)

ETF flows ended the week on a positive note, led by Small Cap (IWM +$1b)the largest inflow in a month

High Yield had its second straight day of inflows (HYG +$196mm, JNK +$72mm) following a seven-day streak of net outflows

Friday capped a big week for Gold (GLD +$307mm), bringing in $1b for the week overall

We saw a large switch from Growth (IWF -$247mm) to Value (IWD +$371mm)

Europe ETFs finished the week in negative territory again (HEDJ -$92mm, VGK -$62mm.

Question of the Day


Today: The original marshmallow candy is derived from what green vegetable, common in Southern cooking?

Previous Day: What percentage of the penny is actually comprised of copper?


Answer: only 2.5%. The rest is zinc?

Contributors and Contacts


Trading Strategy

Delta One Trading

Victor Lin

415-836-7643

victor.lin@credit-suisse.com

Ana Avramovic

212-325-2438

ana.avramovic@credit-suisse.com

Meera Krishnan

212 325 5613

meera.krishnan@credit-suisse.com

Program Trading Sales

Josh Lukeman

} 212-325-3205

josh.lukeman@credit-suisse.com

Justin Bojarski

justin.bojarski@credit-suisse.com

Rob Bernstone

212-325-3205

robert.bernstone@credit-suisse.com

Michael Strongin

212-325-3205

michael.strongin@credit-suisse.com

Justin Waluch

212-325-3205

justin.waluch@credit-suisse.com

212-325-7421

john.dwyer@credit-suisse.com

Futures

James Mckeever

james.mckeever@credit-suisse.com

Kevin Koenig

} 212-325-7764

kevin.koenig@credit-suisse.com

John Dwyer

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US Trading Daily
8 August 2016
Aunrie Dash

aunrie.dash@credit-suisse.com

Ron Cherry

ron.cherry@credit-suisse.com

Derivative Sales
Tim Scanlon

Special Situations
Tom Bruno

212-325-5227

tim.scanlon@credit-suisse.com

Interest Rates
212-325-3684

tom.bruno@credit-suisse.com

Praveen Korapaty

212-325-3427

praveen.korapaty@credit-suisse.com

Cash
Laura Prostic

212-325-2147

laura.prostic@credit-suisse.com

Market Commentary Disclaimer


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Observations and views expressed herein may be changed by the trader or sales personnel at any time without notice. Trade report information is preliminary and subject to
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