Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.47 -2.71%
- Euro/Yen Carry Return Index 123.47 +.06%
- Emerging Markets Currency Volatility(VXY) 9.10 +.66%
- S&P 500 Implied Correlation 42.44 -2.91%
- ISE Sentiment Index 68.0 -21.84%
- Total Put/Call .88 -22.81%
- NYSE Arms 1.11 -28.16%
Credit Investor Angst:
- North American Investment Grade CDS Index 66.25 -.88%
- America Energy Sector High-Yield CDS Index 350.0 -1.67%
- European Financial Sector CDS Index 89.97 -2.20%
- Western Europe Sovereign Debt CDS Index 12.83 +2.97%
- Asia Pacific Sovereign Debt CDS Index 20.89 -.17%
- Emerging Market CDS Index 210.48 -.86%
- iBoxx Offshore RMB China Corporate High Yield Index 136.40 -.13%
- 2-Year Swap Spread 33.5 -3..25 basis points
- TED Spread 35.25 -1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -22.25 +2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.88 -.14%
- 3-Month T-Bill Yield .80% +2.0 basis points
- Yield Curve 110.0 -1.0 basis point
- China Import Iron Ore Spot $81.54/Metric Tonne +2.63%
- Citi US Economic Surprise Index 45.70 +2.0 points
- Citi Eurozone Economic Surprise Index 37.60 -2.4 points
- Citi Emerging Markets Economic Surprise Index 37.60 +2.3 points
- 10-Year TIPS Spread 1.97 +1.0 basis point
- 60.0% chance of Fed rate hike at June 14 meeting, 63.5% chance at July 26 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +18 open in Japan
- China A50 Futures: Indicating +47 open in China
- DAX Futures: Indicating -3 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech/retail sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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