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) 12.53 +8.58%
- Euro/Yen Carry Return Index 124.14 -.49%
- Emerging Markets Currency Volatility(VXY) 9.02 +.22%
- S&P 500 Implied Correlation 44.08 +1.29%
- ISE Sentiment Index 98.0 +18.1%
- Total Put/Call 1.22 +34.1%
- NYSE Arms 1.22 -4.06%
Credit Investor Angst:
- North American Investment Grade CDS Index 66.39 -1.31%
- America Energy Sector High-Yield CDS Index 364.0 -1.03%
- European Financial Sector CDS Index 88.71 +.65%
- Western Europe Sovereign Debt CDS Index 12.46 +.85%
- Asia Pacific Sovereign Debt CDS Index 21.15 +.21%
- Emerging Market CDS Index 213.89 +1.96%
- iBoxx Offshore RMB China Corporate High Yield Index 136.47 -.03%
- 2-Year Swap Spread 36.0 +.75 basis point
- TED Spread 39.0 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -25.5 -1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.12 +.07%
- 3-Month T-Bill Yield .76% -1.0 basis point
- Yield Curve 114.0 unch.
- China Import Iron Ore Spot $80.39/Metric Tonne -1.7%
- Citi US Economic Surprise Index 48.0 -3.6 points
- Citi Eurozone Economic Surprise Index 54.10 -9.5 points
- Citi Emerging Markets Economic Surprise Index 34.40 -2.1 points
- 10-Year TIPS Spread 1.97 -1.0 basis point
- 57.5% chance of Fed rate hike at June 14 meeting, 62.9% chance at July 26 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +96 open in Japan
- China A50 Futures: Indicating +50 open in China
- DAX Futures: Indicating +35 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech sector longs and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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