Broad Equity Market Tone:
- Advance/Decline Line: About Even
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.80 +1.7%
- Euro/Yen Carry Return Index 125.46 -.02%
- Emerging Markets Currency Volatility(VXY) 9.20 +.99%
- S&P 500 Implied Correlation 47.17 -1.11%
- ISE Sentiment Index 83.0 -17.82%
- Total Put/Call 1.12 -7.44%
- NYSE Arms .98 -15.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 67.80 -.08%
- America Energy Sector High-Yield CDS Index 401.0 -1.77%
- European Financial Sector CDS Index 88.25 -.85%
- Western Europe Sovereign Debt CDS Index 11.72 -4.75%
- Asia Pacific Sovereign Debt CDS Index 21.38 +1.66%
- Emerging Market CDS Index 213.59 +.75%
- iBoxx Offshore RMB China Corporate High Yield Index 136.34 +.09%
- 2-Year Swap Spread 35.0 -2.0 basis points
- TED Spread 39.0 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -20.75 +3.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.42 -.13%
- 3-Month T-Bill Yield .77% +1.0 basis point
- Yield Curve 112.0 -3.0 basis points
- China Import Iron Ore Spot $81.57/Metric Tonne -4.1%
- Citi US Economic Surprise Index 52.5 -1.6 points
- Citi Eurozone Economic Surprise Index 67.70 -2.1 points
- Citi Emerging Markets Economic Surprise Index 42.80 -2.2 points
- 10-Year TIPS Spread 1.97 -1.0 basis point
- 50.2% chance of Fed rate hike at June 14 meeting, 56.3% chance at July 26 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +55 open in Japan
- China A50 Futures: Indicating +33 open in China
- DAX Futures: Indicating +46 open in Germany
Portfolio:
- Higher: On gains in my medical/tech/biotech/retail sector longs and index hedges
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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