Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 12.55 +10.7%
- Euro/Yen Carry Return Index 126.34 +.1%
- Emerging Markets Currency Volatility(VXY) 8.92 unch.
- S&P 500 Implied Correlation 47.12 +1.93%
- ISE Sentiment Index 124.0 +27.8%
- Total Put/Call .97 -9.4%
- NYSE Arms 1.41 +23.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 68.91 +.77%
- America Energy Sector High-Yield CDS Index 403.0 +1.29%
- European Financial Sector CDS Index 89.42 -3.03%
- Western Europe Sovereign Debt CDS Index 13.14 -9.16%
- Asia Pacific Sovereign Debt CDS Index 20.42 -.39%
- Emerging Market CDS Index 214.89 +.39%
- iBoxx Offshore RMB China Corporate High Yield Index 136.05 +.09%
- 2-Year Swap Spread 35.5 +.75 basis point
- TED Spread 39.5 -3.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -26.75 +2.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.32 +.05%
- 3-Month T-Bill Yield .75% +2.0 basis points
- Yield Curve 116.0 -2.0 basis points
- China Import Iron Ore Spot $87.59/Metric Tonne -4.26%
- Citi US Economic Surprise Index 55.20 -.7 point
- Citi Eurozone Economic Surprise Index 45.30 -1.0 point
- Citi Emerging Markets Economic Surprise Index 48.40 -.8 point
- 10-Year TIPS Spread 2.0 -1.0 basis point
- 56.7% chance of Fed rate hike at June 14 meeting, 62.2% chance at July 26 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -290 open in Japan
- China A50 Futures: Indicating -48 open in China
- DAX Futures: Indicating +26 open in Germany
Portfolio:
- Lower: On losses in my retail/tech/biotech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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