Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 14.04 -.28%
- Euro/Yen Carry Return Index 131.41 +.38%
- Emerging Markets Currency Volatility(VXY) 10.60 -1.94%
- S&P 500 Implied Correlation 54.66 -1.64%
- ISE Sentiment Index 112.0 +62.32%
- Total Put/Call .81 +8.0%
- NYSE Arms .92 -39.27%
Credit Investor Angst:
- North American Investment Grade CDS Index 74.86 +.30%
- America Energy Sector High-Yield CDS Index 1,076.0 +4.99%
- European Financial Sector CDS Index 87.18 +1.05%
- Western Europe Sovereign Debt CDS Index 26.18 -1.11%
- Asia Pacific Sovereign Debt CDS Index 58.05 +.25%
- Emerging Market CDS Index 281.36 -1.52%
- iBoxx Offshore RMB China Corporate High Yield Index 127.16 +.02%
- 2-Year Swap Spread 10.75 -2.25 basis points
- TED Spread 39.25 -1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -23.75 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.79 +.41%
- 3-Month T-Bill Yield .24% unch.
- Yield Curve 107.0 unch.
- China Import Iron Ore Spot $62.78/Metric Tonne -4.98%
- Citi US Economic Surprise Index -28.0 -2.9 points
- Citi Eurozone Economic Surprise Index -14.30 +1.5 points
- Citi Emerging Markets Economic Surprise Index 16.60 +.2 point
- 10-Year TIPS Spread 1.68% +2.0 basis points
- 21.6% chance of Fed rate hike at June 15 meeting, 35.4% chance at July 27 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +182 open in Japan
- China A50 Futures: Indicating +17 open in China
- DAX Futures: Indicating +46 open in Germany
Portfolio:
- Lower: On losses in my tech/biotech sector longs and emerging markets shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
- Market Exposure: Moved to 25% Net Long
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