Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Slightly Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.44 -3.73%
- Euro/Yen Carry Return Index 131.03 +1.48%
- Emerging Markets Currency Volatility(VXY) 10.70 -5.96%
- S&P 500 Implied Correlation 54.45 -3.17%
- ISE Sentiment Index 88.0 +41.94%
- Total Put/Call 1.05 -9.48%
- NYSE Arms 1.07 -14.75%
Credit Investor Angst:
- North American Investment Grade CDS Index 73.23 -1.23%
- America Energy Sector High-Yield CDS Index 1,033.0 +6.90%
- European Financial Sector CDS Index 81.84 +.56%
- Western Europe Sovereign Debt CDS Index 26.44 +.06%
- Asia Pacific Sovereign Debt CDS Index 56.16 -.43%
- Emerging Market CDS Index 283.56 +.18%
- iBoxx Offshore RMB China Corporate High Yield Index 127.11 -.03%
- 2-Year Swap Spread 13.5 -.25 basis point
- TED Spread 40.50 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -23.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.58 -.42%
- 3-Month T-Bill Yield .23% unch.
- Yield Curve 106.0 unch.
- China Import Iron Ore Spot $66.33/Metric Tonne -5.86%
- Citi US Economic Surprise Index -25.10 -2.6 points
- Citi Eurozone Economic Surprise Index -17.20 -3.5 points
- Citi Emerging Markets Economic Surprise Index 16.0 +1.0 point
- 10-Year TIPS Spread 1.65% +1.0 basis point
- 23.0% chance of Fed rate hike at June 15 meeting, 34.9% chance at July 27 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -238 open in Japan
- China A50 Futures: Indicating -17 open in China
- DAX Futures: Indicating +52 open in Germany
Portfolio:
- Slightly Higher: On gains in my retail/medical sector longs and emerging markets shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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