Broad Equity Market Tone:
- Advance/Decline Line: About Even
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.69 +2.42%
- Euro/Yen Carry Return Index 122.96 -.16%
- Emerging Markets Currency Volatility(VXY) 9.39 +1.08%
- S&P 500 Implied Correlation 43.45 -5.38%
- ISE Sentiment Index 82.0 -24.1%
- Total Put/Call .92 +1.10%
- NYSE Arms .91 -25.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 64.93 -1.2%
- America Energy Sector High-Yield CDS Index 351.0 -.02%
- European Financial Sector CDS Index 88.92 -.1%
- Western Europe Sovereign Debt CDS Index 12.13 -5.09%
- Asia Pacific Sovereign Debt CDS Index 21.24 +1.05%
- Emerging Market CDS Index 210.63 -.22%
- iBoxx Offshore RMB China Corporate High Yield Index 136.66 unch.
- 2-Year Swap Spread 33.5 -.5 basis point
- TED Spread 34.25 -1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -25.75 -3.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.70 -.17%
- 3-Month T-Bill Yield .81% +1.0 basis point
- Yield Curve 109.0 -1.0 basis point
- China Import Iron Ore Spot $75.45/Metric Tonne -6.76%
- Citi US Economic Surprise Index 38.80 -8.5 points
- Citi Eurozone Economic Surprise Index 41.10 +5.1 points
- Citi Emerging Markets Economic Surprise Index 29.20 -.4 point
- 10-Year TIPS Spread 1.95 -1.0 basis point
- 63.2% chance of Fed rate hike at June 14 meeting, 67.3% chance at July 26 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +201 open in Japan
- China A50 Futures: Indicating +19 open in China
- DAX Futures: Indicating +30 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/medical sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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