Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 22.8 +8.4%
- Euro/Yen Carry Return Index 136.24 -.31%
- Emerging Markets Currency Volatility(VXY) 8.08 +1.6%
- S&P 500 Implied Correlation 50.11 +7.3%
- ISE Sentiment Index 133.0 +41.5%
- Total Put/Call 1.0 -14.5%
- NYSE Arms 1.48 +188.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 67.14 +2.12%
- America Energy Sector High-Yield CDS Index 443.0 -.26%
- European Financial Sector CDS Index 66.90 -2.69%
- Italian/German 10Y Yld Spread 138.75 +3.75 basis points
- Asia Pacific Sovereign Debt CDS Index 13.20 -.75%
- Emerging Market CDS Index 144.37 +.79%
- iBoxx Offshore RMB China Corporate High Yield Index 148.60 +.01%
- 2-Year Swap Spread 28.0 -5.0 basis points
- TED Spread 51.5 -4.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -4.25 +3.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 75.29 -.13%
- 3-Month T-Bill Yield 1.75% +1.0 basis point
- Yield Curve 50.75 -6.0 basis points
- China Iron Ore Spot 63.55 USD/Metric Tonne +.41%
- Citi US Economic Surprise Index 46.2 -.6 point
- Citi Eurozone Economic Surprise Index -57.50 -1.3 points
- Citi Emerging Markets Economic Surprise Index 33.0 -1.6 points
- 10-Year TIPS Spread 2.07 -1.0 basis point
- 77.4% chance of Fed rate hike at June 13 meeting, 78.8% chance at August 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -577 open in Japan
- China A50 Futures: Indicating -153 open in China
- DAX Futures: Indicating -130 open in Germany
Portfolio:
- Lower: On losses in my industrial/retail/biotech/medical/tech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging markets shorts
- Market Exposure: Moved to 25% Net Long
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