Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 15.75 +4.51%
- Euro/Yen Carry Return Index 121.49 +.12%
- Emerging Markets Currency Volatility(VXY) 9.31 -.21%
- S&P 500 Implied Correlation 46.40 -.49%
- ISE Sentiment Index 133.0 +87.32%
- Total Put/Call .87 -4.4%
- NYSE Arms 1.08 -11.91%
Credit Investor Angst:
- North American Investment Grade CDS Index 66.79 +1.32%
- America Energy Sector High-Yield CDS Index 351.0 +.38%
- European Financial Sector CDS Index 92.60 -1.07%
- Western Europe Sovereign Debt CDS Index 12.54 -2.75%
- Asia Pacific Sovereign Debt CDS Index 22.50 +2.02%
- Emerging Market CDS Index 213.86 +.79%
- iBoxx Offshore RMB China Corporate High Yield Index 136.69 -.05%
- 2-Year Swap Spread 32.0 -.25 basis point
- TED Spread 34.25 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -29.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.85 +.20%
- 3-Month T-Bill Yield .81% unch.
- Yield Curve 106.0 -1.0 basis point
- China Import Iron Ore Spot $68.04/Metric Tonne -8.52%
- Citi US Economic Surprise Index 36.70 +.3 point
- Citi Eurozone Economic Surprise Index 39.10 -.1 point
- Citi Emerging Markets Economic Surprise Index 19.3 -1.7 points
- 10-Year TIPS Spread 1.92 +1.0 basis point
- 60.0% chance of Fed rate hike at June 14 meeting, 62.7% chance at July 26 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +67 open in Japan
- China A50 Futures: Indicating -13 open in China
- DAX Futures: Indicating +29 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech sector longs and index hedges
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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