Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.83 +.16%
- Euro/Yen Carry Return Index 124.94 -.32%
- Emerging Markets Currency Volatility(VXY) 9.24 +.43%
- S&P 500 Implied Correlation 48.46 +1.51%
- ISE Sentiment Index 102.0 +22.9%
- Total Put/Call 1.11 +14.43%
- NYSE Arms 1.68 +42.94%
Credit Investor Angst:
- North American Investment Grade CDS Index 68.07 -.92%
- America Energy Sector High-Yield CDS Index 408.0 -.68%
- European Financial Sector CDS Index 89.96 -2.0%
- Western Europe Sovereign Debt CDS Index 12.14 -2.29%
- Asia Pacific Sovereign Debt CDS Index 21.29 +1.38%
- Emerging Market CDS Index 216.23 -.63%
- iBoxx Offshore RMB China Corporate High Yield Index 136.28 +.18%
- 2-Year Swap Spread 36.5 +1.0 basis point
- TED Spread 39.50 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -27.5 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.22 -.04%
- 3-Month T-Bill Yield .76% unch.
- Yield Curve 117.0 +1.0 basis point
- China Import Iron Ore Spot $86.36/Metric Tonne +1.61%
- Citi US Economic Surprise Index 55.70 +1.3 points
- Citi Eurozone Economic Surprise Index 41.70 -1.6 points
- Citi Emerging Markets Economic Surprise Index 46.70 -.3 point
- 10-Year TIPS Spread 1.97 -1.0 basis point
- 52.6% chance of Fed rate hike at June 14 meeting, 57.5% chance at July 26 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -90 open in Japan
- China A50 Futures: Indicating +17 open in China
- DAX Futures: Indicating -2 open in Germany
Portfolio:
- Slightly Higher: On gains in my retail sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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