Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.40 +2.13%
- Euro/Yen Carry Return Index 125.05 +.13%
- Emerging Markets Currency Volatility(VXY) 9.11 -.65%
- S&P 500 Implied Correlation 49.01 +1.03%
- ISE Sentiment Index 104.0 -2.0%
- Total Put/Call 1.24 +9.73%
- NYSE Arms 1.49 -8.55%
Credit Investor Angst:
- North American Investment Grade CDS Index 67.93 -.77%
- America Energy Sector High-Yield CDS Index 408.0 +.15%
- European Financial Sector CDS Index 89.0 -1.07%
- Western Europe Sovereign Debt CDS Index 12.31 +1.40%
- Asia Pacific Sovereign Debt CDS Index 20.95 -1.60%
- Emerging Market CDS Index 212.82 -1.70%
- iBoxx Offshore RMB China Corporate High Yield Index 136.22 -.05%
- 2-Year Swap Spread 37.0 +.5 basis point
- TED Spread 39.0 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -24.5 +3.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.47 +.36%
- 3-Month T-Bill Yield .76% unch.
- Yield Curve 115.0 -2.0 basis points
- China Import Iron Ore Spot $85.06/Metric Tonne -1.51%
- Citi US Economic Surprise Index 54.10 -1.6 points
- Citi Eurozone Economic Surprise Index 69.80 +28.1 points
- Citi Emerging Markets Economic Surprise Index 45.0 -1.7 points
- 10-Year TIPS Spread 1.98 +1.0 basis point
- 50.2% chance of Fed rate hike at June 14 meeting, 57.2% chance at July 26 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -167 open in Japan
- China A50 Futures: Indicating +29 open in China
- DAX Futures: Indicating +13 open in Germany
Portfolio:
- Slightly Higher: On gains in my medical/tech sector longs and index hedges
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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