Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.52 -7.84%
- Euro/Yen Carry Return Index 125.42 -.09%
- Emerging Markets Currency Volatility(VXY) 9.20 unch.
- S&P 500 Implied Correlation 44.98 -2.7%
- ISE Sentiment Index 83.0 unch.
- Total Put/Call 1.12 -7.44%
- NYSE Arms .80 -23.97%
Credit Investor Angst:
- North American Investment Grade CDS Index 67.24 -.77%
- America Energy Sector High-Yield CDS Index 387.0 -3.41%
- European Financial Sector CDS Index 86.95 -1.47%
- Western Europe Sovereign Debt CDS Index 11.19 -4.56%
- Asia Pacific Sovereign Debt CDS Index 21.46 +.56%
- Emerging Market CDS Index 212.93 -.32%
- iBoxx Offshore RMB China Corporate High Yield Index 136.36 +.02%
- 2-Year Swap Spread 33.25 -1.75 basis points
- TED Spread 38.0 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -22.0 -1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.19 -.38%
- 3-Month T-Bill Yield .77% unch.
- Yield Curve 111.0 -1.0 basis point
- China Import Iron Ore Spot $82.01/Metric Tonne +.54%
- Citi US Economic Surprise Index 53.1 +.6 point
- Citi Eurozone Economic Surprise Index 66.50 -1.2 points
- Citi Emerging Markets Economic Surprise Index 41.80 -1.0 point
- 10-Year TIPS Spread 1.97 unch.
- 53.5% chance of Fed rate hike at June 14 meeting, 58.3% chance at July 26 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +43 open in Japan
- China A50 Futures: Indicating +20 open in China
- DAX Futures: Indicating +50 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/retail sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my (EEM) short
- Market Exposure: Moved to 100% Net Long
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