Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.97 -3.31%
- Euro/Yen Carry Return Index 123.26 -.22%
- Emerging Markets Currency Volatility(VXY) 9.05 +1.0%
- S&P 500 Implied Correlation 42.89 -3.12%
- ISE Sentiment Index 77.0 -5.0%
- Total Put/Call 1.22 +24.5%
- NYSE Arms .81 -51.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 66.25 -.77%
- America Energy Sector High-Yield CDS Index 361.0 -.64%
- European Financial Sector CDS Index 92.31 +.27%
- Western Europe Sovereign Debt CDS Index 12.46 -3.82%
- Asia Pacific Sovereign Debt CDS Index 21.01 -1.27%
- Emerging Market CDS Index 212.19 -.62%
- iBoxx Offshore RMB China Corporate High Yield Index 136.58 +.02%
- 2-Year Swap Spread 36.75 +2.5 basis points
- TED Spread 36.75 -2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -24.25 +.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.95 -.14%
- 3-Month T-Bill Yield .78% +2.0 basis point
- Yield Curve 111.0 -1.0 basis point
- China Import Iron Ore Spot $79.45/Metric Tonne +.1%
- Citi US Economic Surprise Index 43.70 -.8 point
- Citi Eurozone Economic Surprise Index 47.0 -.7 point
- Citi Emerging Markets Economic Surprise Index 27.90 -3.4 points
- 10-Year TIPS Spread 1.96 -1.0 basis point
- 56.7% chance of Fed rate hike at June 14 meeting, 62.2% chance at July 26 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +150 open in Japan
- China A50 Futures: Indicating +93 open in China
- DAX Futures: Indicating +33 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail/medical sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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