Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.08 -4.55%
- Euro/Yen Carry Return Index 126.48 -.72%
- Emerging Markets Currency Volatility(VXY) 8.99 unch.
- S&P 500 Implied Correlation 44.56 -.54%
- ISE Sentiment Index 76.0 -30.9%
- Total Put/Call 1.03 +18.4%
- NYSE Arms 1.45 +14.17%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.26 -1.85%
- America Energy Sector High-Yield CDS Index 380.0 +.14%
- European Financial Sector CDS Index 85.29 -.37%
- Western Europe Sovereign Debt CDS Index 15.50 +8.92%
- Asia Pacific Sovereign Debt CDS Index 25.44 -3.16%
- Emerging Market CDS Index 205.16 -1.59%
- iBoxx Offshore RMB China Corporate High Yield Index 135.91 +.19%
- 2-Year Swap Spread 34.0 +1.0 basis point
- TED Spread 42.25 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -29.0 -2.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.13 +.24%
- 3-Month T-Bill Yield .72% -1.0 basis point
- Yield Curve 119.0 -1.0 basis point
- China Import Iron Ore Spot $92.61/Metric Tonne unch.
- Citi US Economic Surprise Index 56.10 -1.5 points
- Citi Eurozone Economic Surprise Index 48.10 -.8 point
- Citi Emerging Markets Economic Surprise Index 53.30 +1.7 points
- 10-Year TIPS Spread 2.02 -1.0 basis point
- 53.5% chance of Fed rate hike at June 14 meeting, 60.2% chance at July 26 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -141 open in Japan
- China A50 Futures: Indicating +4 open in China
- DAX Futures: Indicating +32 open in Germany
Portfolio:
- Slightly Higher: On gains in my in my tech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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