Broad Equity Market Tone:
- Advance/Decline Line: About Even
- Sector Performance: Mixed
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.59 +5.5%
- Euro/Yen Carry Return Index 122.77 -.06%
- Emerging Markets Currency Volatility(VXY) 9.38 -.53%
- S&P 500 Implied Correlation 44.72 -.82%
- ISE Sentiment Index 84.0 +27.27%
- Total Put/Call 1.10 +15.8%
- NYSE Arms 1.11 -27.13%
Credit Investor Angst:
- North American Investment Grade CDS Index 65.42 -.13%
- America Energy Sector High-Yield CDS Index 349.0 -.16%
- European Financial Sector CDS Index 91.31 +2.68%
- Western Europe Sovereign Debt CDS Index 12.84 +5.85%
- Asia Pacific Sovereign Debt CDS Index 21.28 +.52%
- Emerging Market CDS Index 210.87 +.27%
- iBoxx Offshore RMB China Corporate High Yield Index 136.45 -.15%
- 2-Year Swap Spread 32.0 -1.5 basis points
- TED Spread 34.5 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -29.5 -3.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.68 -.02%
- 3-Month T-Bill Yield .81% unch.
- Yield Curve 109.0 unch.
- China Import Iron Ore Spot $74.71/Metric Tonne -.98%
- Citi US Economic Surprise Index 35.60 -3.2 points
- Citi Eurozone Economic Surprise Index 38.90 -2.2 points
- Citi Emerging Markets Economic Surprise Index 24.70 -4.5 points
- 10-Year TIPS Spread 1.93 -2.0 basis points
- 63.2% chance of Fed rate hike at June 14 meeting, 65.1% chance at July 26 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +18 open in Japan
- China A50 Futures: Indicating -23 open in China
- DAX Futures: Indicating +13 open in Germany
Portfolio:
- Slightly Higher: On gains in my retail sector longs and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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