Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.97 +3.02%
- Euro/Yen Carry Return Index 133.87 +.49%
- Emerging Markets Currency Volatility(VXY) 11.49 +.44%
- S&P 500 Implied Correlation 54.93 +.68%
- ISE Sentiment Index 88.0 -2.22%
- Total Put/Call .88 -21.43%
- NYSE Arms 1.26 +57.34%
Credit Investor Angst:
- North American Investment Grade CDS Index 79.17 +1.15%
- America Energy Sector High-Yield CDS Index 1,451.0 -1.67%
- European Financial Sector CDS Index 89.41 -.67%
- Western Europe Sovereign Debt CDS Index 25.72 +1.30%
- Asia Pacific Sovereign Debt CDS Index 58.59 +6.19%
- Emerging Market CDS Index 288.05 +1.62%
- iBoxx Offshore RMB China Corporate High Yield Index 126.79 +.16%
- 2-Year Swap Spread 12.0 +1.75 basis points
- TED Spread 44.25 +3.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -25.0 -1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.67 +.64%
- 3-Month T-Bill Yield .20% +1.0 basis point
- Yield Curve 107.0 unch.
- China Import Iron Ore Spot $53.75/Metric Tonne -.79%
- Citi US Economic Surprise Index -5.20 -1.8 points
- Citi Eurozone Economic Surprise Index -22.30 +11.3 points
- Citi Emerging Markets Economic Surprise Index -10.60 +1.8 points
- 10-Year TIPS Spread 1.63% -2.0 basis points
- 20.0% chance of Fed rate hike at June 15 meeting, 32.8% chance at July 27 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +56 open in Japan
- China A50 Futures: Indicating +21 open in China
- DAX Futures: Indicating +18 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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