Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 11.40 -.18%
- Euro/Yen Carry Return Index 124.55 -.20%
- Emerging Markets Currency Volatility(VXY) 9.01 -.77%
- S&P 500 Implied Correlation 43.05 -3.76%
- ISE Sentiment Index 80.0 +1.0%
- Total Put/Call .87 +6.1%
- NYSE Arms 1.10 +25.87%
Credit Investor Angst:
- North American Investment Grade CDS Index 67.03 -.88%
- America Energy Sector High-Yield CDS Index 368.0 -1.64%
- European Financial Sector CDS Index 88.14 +.71%
- Western Europe Sovereign Debt CDS Index 12.36 +8.9%
- Asia Pacific Sovereign Debt CDS Index 21.10 -.75%
- Emerging Market CDS Index 209.09 -1.32%
- iBoxx Offshore RMB China Corporate High Yield Index 136.51 +.10%
- 2-Year Swap Spread 35.25 +1.75 basis points
- TED Spread 38.0 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -24.25 -1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.21 -.14%
- 3-Month T-Bill Yield .77% unch.
- Yield Curve 114.0 +3.0 basis points
- China Import Iron Ore Spot $81.78/Metric Tonne -.57%
- Citi US Economic Surprise Index 51.6 -.9 point
- Citi Eurozone Economic Surprise Index 63.60 -4.6 points
- Citi Emerging Markets Economic Surprise Index 36.50 -4.3 points
- 10-Year TIPS Spread 1.98 +1.0 basis point
- 53.5% chance of Fed rate hike at June 14 meeting, 59.2% chance at July 26 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +171 open in Japan
- China A50 Futures: Indicating +18 open in China
- DAX Futures: Indicating +18 open in Germany
Portfolio:
- Higher: On gains in my tech sector longs and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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