Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.7 +5.1%
- Euro/Yen Carry Return Index 131.76 +.33%
- Emerging Markets Currency Volatility(VXY) 11.74 +.34%
- S&P 500 Implied Correlation 57.55 +.33%
- ISE Sentiment Index 63.0 +28.57%
- Total Put/Call 1.05 +1.94%
- NYSE Arms 1.09 -46.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 83.29 +2.4%
- America Energy Sector High-Yield CDS Index 1,447.0 +8.04%
- European Financial Sector CDS Index 94.76 +4.25%
- Western Europe Sovereign Debt CDS Index 27.21 +.24%
- Asia Pacific Sovereign Debt CDS Index 58.17 +.61%
- Emerging Market CDS Index 297.50 +2.26%
- iBoxx Offshore RMB China Corporate High Yield Index 126.41 +.12%
- 2-Year Swap Spread 11.0 +1.25 basis points
- TED Spread 33.50 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -22.0 -1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.16 -.26%
- 3-Month T-Bill Yield .28% -2.0 basis points
- Yield Curve 103.0 unch.
- China Import Iron Ore Spot $56.37/Metric Tonne -2.59%
- Citi US Economic Surprise Index -10.70 -7.0 points
- Citi Eurozone Economic Surprise Index -32.90 -.3 point
- Citi Emerging Markets Economic Surprise Index -16.40 +.4 point
- 10-Year TIPS Spread 1.58% -2.0 basis points
- 39.3% chance of Fed rate hike at June 15 meeting, 50.2% chance at July 27 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -167 open in Japan
- China A50 Futures: Indicating -83 open in China
- DAX Futures: Indicating +49 open in Germany
Portfolio:
- Slightly Higher: On gains in my retail/tech sector longs and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
No comments:
Post a Comment