Broad Equity Market Tone:
- Advance/Decline Line: Slightly Lower
- Sector Performance: Mixed
- Volume: About Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.04 +6.3%
- Euro/Yen Carry Return Index 121.98 -.26%
- Emerging Markets Currency Volatility(VXY) 9.02 -.33%
- S&P 500 Implied Correlation 45.44 -.59%
- ISE Sentiment Index 69.0 -25.8%
- Total Put/Call 1.04 +15.6%
- NYSE Arms 1.38 +45.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 67.30 -1.26%
- America Energy Sector High-Yield CDS Index 373.0 +.48%
- European Financial Sector CDS Index 90.82 -1.01%
- Western Europe Sovereign Debt CDS Index 11.75 -1.38%
- Asia Pacific Sovereign Debt CDS Index 24.0 -3.28%
- Emerging Market CDS Index 206.60 -1.41%
- iBoxx Offshore RMB China Corporate High Yield Index 137.02 unch.
- 2-Year Swap Spread 34.75 +1.25 basis points
- TED Spread 37.75 +2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -33.25 -3.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.13 -.15%
- 3-Month T-Bill Yield .78% unch.
- Yield Curve 105.0 +1.0 basis point
- China Import Iron Ore Spot $68.22/Metric Tonne +4.38%
- Citi US Economic Surprise Index 2.80 -3.5 points
- Citi Eurozone Economic Surprise Index 49.30 +10.8 points
- Citi Emerging Markets Economic Surprise Index 39.8 -.4 point
- 10-Year TIPS Spread 1.86 -1.0 basis point
- 50.2% chance of Fed rate hike at June 14 meeting, 54.3% chance at July 26 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +45 open in Japan
- China A50 Futures: Indicating -40 open in China
- DAX Futures: Indicating +55 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech/retail/tech sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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