Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.30 -.39%
- Euro/Yen Carry Return Index 128.73 -.01%
- Emerging Markets Currency Volatility(VXY) 11.64 -1.19%
- S&P 500 Implied Correlation 58.05 +.64%
- ISE Sentiment Index 95.0 +17.28%
- Total Put/Call .85 -12.37%
- NYSE Arms .83 -17.59%
Credit Investor Angst:
- North American Investment Grade CDS Index 80.66 -1.75%
- America Energy Sector High-Yield CDS Index 1,496.0 -2.38%
- European Financial Sector CDS Index 99.96 -1.02%
- Western Europe Sovereign Debt CDS Index 28.18 +2.55%
- Asia Pacific Sovereign Debt CDS Index 58.84 -.96%
- Emerging Market CDS Index 302.44 -1.42%
- iBoxx Offshore RMB China Corporate High Yield Index 127.23 +.11%
- 2-Year Swap Spread 14.75 +.75 basis point
- TED Spread 40.75 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -22.0 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.70 +.75%
- 3-Month T-Bill Yield .22% unch.
- Yield Curve 103.0 +1.0 basis point
- China Import Iron Ore Spot $56.62/Metric Tonne +4.79%
- Citi US Economic Surprise Index -3.50 +2.5 points
- Citi Eurozone Economic Surprise Index -27.50 +2.0 points
- Citi Emerging Markets Economic Surprise Index 9.1 +3.1 points
- 10-Year TIPS Spread 1.58% -2.0 basis points
- 15.7% chance of Fed rate hike at June 15 meeting, 27.2% chance at July 27 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +79 open in Japan
- China A50 Futures: Indicating +12 open in China
- DAX Futures: Indicating +45 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech sector longs and emerging market shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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