Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.17 +7.9%
- Euro/Yen Carry Return Index 121.48 -1.02%
- Emerging Markets Currency Volatility(VXY) 9.33 -.64%
- S&P 500 Implied Correlation 46.14 -2.33%
- ISE Sentiment Index 61.0 -29.89%
- Total Put/Call .87 -18.69%
- NYSE Arms 1.28 +9.99%
Credit Investor Angst:
- North American Investment Grade CDS Index 65.42 +1.22%
- America Energy Sector High-Yield CDS Index 348.0 +.07%
- European Financial Sector CDS Index 93.25 +1.89%
- Western Europe Sovereign Debt CDS Index 12.90 +.43%
- Asia Pacific Sovereign Debt CDS Index 22.06 +3.47%
- Emerging Market CDS Index 212.02 +.49%
- iBoxx Offshore RMB China Corporate High Yield Index 136.76 +.22%
- 2-Year Swap Spread 32.25 +.25 basis point
- TED Spread 34.75 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -29.75 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.70 +.02%
- 3-Month T-Bill Yield .81% unch.
- Yield Curve 107.0 -2.0 basis points
- China Import Iron Ore Spot $74.38/Metric Tonne -.44%
- Citi US Economic Surprise Index 36.40 +.8 point
- Citi Eurozone Economic Surprise Index 39.20 +.3 point
- Citi Emerging Markets Economic Surprise Index 21.0 -3.7 points
- 10-Year TIPS Spread 1.91 -2.0 basis points
- 59.3% chance of Fed rate hike at June 14 meeting, 62.8% chance at July 26 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -73 open in Japan
- China A50 Futures: Indicating -23 open in China
- DAX Futures: Indicating +39 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/biotech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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