Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.83 -8.2%
- Euro/Yen Carry Return Index 123.17 -.07%
- Emerging Markets Currency Volatility(VXY) 9.26 +1.54%
- S&P 500 Implied Correlation 43.16 -3.66%
- ISE Sentiment Index 120.0 +81.82%
- Total Put/Call .92 +1.1%
- NYSE Arms 1.11 -21.29%
Credit Investor Angst:
- North American Investment Grade CDS Index 65.47 -.83%
- America Energy Sector High-Yield CDS Index 349.0 -1.07%
- European Financial Sector CDS Index 89.01 -2.48%
- Western Europe Sovereign Debt CDS Index 12.78 -.39%
- Asia Pacific Sovereign Debt CDS Index 21.01 +.41%
- Emerging Market CDS Index 210.08 -.64%
- iBoxx Offshore RMB China Corporate High Yield Index 136.66 +.19%
- 2-Year Swap Spread 34.0 +.5 basis point
- TED Spread 35.75 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -22.75 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.84 +.02%
- 3-Month T-Bill Yield .80% unch.
- Yield Curve 110.0 unch.
- China Import Iron Ore Spot $80.92/Metric Tonne -.76%
- Citi US Economic Surprise Index 47.30 +1.6 points
- Citi Eurozone Economic Surprise Index 36.0 -1.6 points
- Citi Emerging Markets Economic Surprise Index 29.60 -8.0 points
- 10-Year TIPS Spread 1.96 -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 +155 open in Japan
- China A50 Futures: Indicating +6 open in China
- DAX Futures: Indicating -3 open in Germany
Portfolio:
- Slightly Higher: On gains in my retail sector longs and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
No comments:
Post a Comment