Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Mixed
- Volume: Slightly Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.42 +.52%
- Euro/Yen Carry Return Index 129.72 +.8%
- Emerging Markets Currency Volatility(VXY) 10.78 -2.44%
- S&P 500 Implied Correlation 54.66 -.55%
- ISE Sentiment Index 95.0 +10.47%
- Total Put/Call .60 -38.78%
- NYSE Arms .53 -42.53%
Credit Investor Angst:
- North American Investment Grade CDS Index 76.53 -1.74%
- America Energy Sector High-Yield CDS Index 1,174.0 -5.65%
- European Financial Sector CDS Index 87.50 +.95%
- Western Europe Sovereign Debt CDS Index 27.03 -4.57%
- Asia Pacific Sovereign Debt CDS Index 56.35 -2.37%
- Emerging Market CDS Index 273.06 -2.40%
- iBoxx Offshore RMB China Corporate High Yield Index 127.45 -.08%
- 2-Year Swap Spread 13.5 +1.25 basis points
- TED Spread 41.50 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -22.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.34 +.88%
- 3-Month T-Bill Yield .21% +1.0 basis point
- Yield Curve 102.0 -1.0 basis point
- China Import Iron Ore Spot $62.85/Metric Tonne +4.13%
- Citi US Economic Surprise Index -21.90 -12.6 points
- Citi Eurozone Economic Surprise Index -17.80 +3.8 points
- Citi Emerging Markets Economic Surprise Index 15.6 +3.6 points
- 10-Year TIPS Spread 1.62% +4.0 basis points
- 15.7% chance of Fed rate hike at June 15 meeting, 28.9% chance at July 27 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +215 open in Japan
- China A50 Futures: Indicating +44 open in China
- DAX Futures: Indicating +28 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/biotech sector longs, emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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