Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.33 +.44%
- Euro/Yen Carry Return Index 126.37 -.02%
- Emerging Markets Currency Volatility(VXY) 8.94 +1.25%
- S&P 500 Implied Correlation 45.31 -.59%
- ISE Sentiment Index 87.0 +26.1%
- Total Put/Call 1.03 +6.2%
- NYSE Arms 1.15 -34.73%
Credit Investor Angst:
- North American Investment Grade CDS Index 67.86 +10.2% (new series)
- America Energy Sector High-Yield CDS Index 391.0 +2.21%
- European Financial Sector CDS Index 92.31 +8.31%
- Western Europe Sovereign Debt CDS Index 14.47 -2.59%
- Asia Pacific Sovereign Debt CDS Index 20.67 -18.45%
- Emerging Market CDS Index 205.16 unch.
- iBoxx Offshore RMB China Corporate High Yield Index 135.93 +.01%
- 2-Year Swap Spread 34.75 +.75 basis point
- TED Spread 42.5 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -29.25 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.26 +.30%
- 3-Month T-Bill Yield .73% +1.0 basis point
- Yield Curve 118.0 -1.0 basis point
- China Import Iron Ore Spot $91.49/Metric Tonne -.92%
- Citi US Economic Surprise Index 55.90 -.2 point
- Citi Eurozone Economic Surprise Index 45.30 -2.8 points
- Citi Emerging Markets Economic Surprise Index 49.20 -4.1 points
- 10-Year TIPS Spread 2.01 -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 -136 open in Japan
- China A50 Futures: Indicating +33 open in China
- DAX Futures: Indicating +35 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail sector longs and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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