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) 13.83 +.8%
- Euro/Yen Carry Return Index 128.29 -.35%
- Emerging Markets Currency Volatility(VXY) 11.35 +.18%
- S&P 500 Implied Correlation 57.07 +1.18%
- ISE Sentiment Index 85.0 +4.94%
- Total Put/Call .71 -15.4%
- NYSE Arms 1.21 +21.58%
Credit Investor Angst:
- North American Investment Grade CDS Index 80.60 +1.97%
- America Energy Sector High-Yield CDS Index 1,263.0 +.34%
- European Financial Sector CDS Index 89.60 +1.28%
- Western Europe Sovereign Debt CDS Index 26.94 +1.24%
- Asia Pacific Sovereign Debt CDS Index 56.64 +1.5%
- Emerging Market CDS Index 290.77 +3.16%
- iBoxx Offshore RMB China Corporate High Yield Index 127.35 +.03%
- 2-Year Swap Spread 12.25 +.25 basis point
- TED Spread 41.0 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -22.25 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.65 -.09%
- 3-Month T-Bill Yield .22% unch.
- Yield Curve 102.0 unch.
- China Import Iron Ore Spot $58.28/Metric Tonne -1.85%
- Citi US Economic Surprise Index -12.20 -4.0 points
- Citi Eurozone Economic Surprise Index -25.30 +1.0 point
- Citi Emerging Markets Economic Surprise Index 18.9 +5.2 points
- 10-Year TIPS Spread 1.56% -1.0 basis point
- 13.4% chance of Fed rate hike at June 15 meeting, 25.1% chance at July 27 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -193 open in Japan
- China A50 Futures: Indicating -13 open in China
- DAX Futures: Indicating +9 open in Germany
Portfolio:
- Slightly Higher: On gains in my retail sector longs, index hedges and emerging markets shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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