Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Light
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 14.76 -7.58%
- Euro/Yen Carry Return Index 120.90 +.44%
- Emerging Markets Currency Volatility(VXY) 9.24 -.43%
- S&P 500 Implied Correlation 46.27 -3.02%
- ISE Sentiment Index 105.0 +20.69%
- Total Put/Call .85 -12.37%
- NYSE Arms .97 -57.11%
Credit Investor Angst:
- North American Investment Grade CDS Index 68.27 +1.57%
- America Energy Sector High-Yield CDS Index 357.0 +.13%
- European Financial Sector CDS Index 93.74 +.22%
- Western Europe Sovereign Debt CDS Index 13.36 +.15%
- Asia Pacific Sovereign Debt CDS Index 23.66 +.60%
- Emerging Market CDS Index 211.50 -.27%
- iBoxx Offshore RMB China Corporate High Yield Index 136.72 +.06%
- 2-Year Swap Spread 32.75 -.5 basis point
- TED Spread 35.0 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -31.75 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.25 +.13%
- 3-Month T-Bill Yield .80% unch.
- Yield Curve 105.0 +2.0 basis points
- China Import Iron Ore Spot $66.25/Metric Tonne -3.54%
- Citi US Economic Surprise Index 10.50 -17.7 points
- Citi Eurozone Economic Surprise Index 38.60 -.3 point
- Citi Emerging Markets Economic Surprise Index 39.3 +12.6 points
- 10-Year TIPS Spread 1.89 -3.0 basis points
- 50.2% chance of Fed rate hike at June 14 meeting, 55.3% chance at July 26 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +115 open in Japan
- China A50 Futures: Indicating -48 open in China
- DAX Futures: Indicating +20 open in Germany
Portfolio:
- Higher: On gains in my biotech/tech/retail/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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