Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 23.11 -.99%
- Euro/Yen Carry Return Index 135.08 +.15%
- Emerging Markets Currency Volatility(VXY) 7.80 +.13%
- S&P 500 Implied Correlation 46.57 +1.73%
- ISE Sentiment Index 66.0 -24.1%
- Total Put/Call 1.53 +24.4%
- NYSE Arms .81 -60.94%
Credit Investor Angst:
- North American Investment Grade CDS Index 66.38 +3.01%
- America Energy Sector High-Yield CDS Index 440.0 +1.49%
- European Financial Sector CDS Index 67.94 +3.62%
- Italian/German 10Y Yld Spread 135.75 +1.75 basis points
- Asia Pacific Sovereign Debt CDS Index 13.52 +3.88%
- Emerging Market CDS Index 146.02 +1.59%
- iBoxx Offshore RMB China Corporate High Yield Index 148.56 +.01%
- 2-Year Swap Spread 33.25 +1.25 basis points
- TED Spread 56.5 +1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -10.0 -.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 75.09 +.16%
- 3-Month T-Bill Yield 1.72% +1.0 basis point
- Yield Curve 56.5 +2.0 basis points
- China Iron Ore Spot 64.40 USD/Metric Tonne +1.0%
- Citi US Economic Surprise Index 46.3 +6.9 points
- Citi Eurozone Economic Surprise Index -57.90 unch.
- Citi Emerging Markets Economic Surprise Index 35.40 -.4 point
- 10-Year TIPS Spread 2.08 unch.
- 80.9% chance of Fed rate hike at June 13 meeting, 81.7% chance at August 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -187 open in Japan
- China A50 Futures: Indicating -139 open in China
- DAX Futures: Indicating -16 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial/retail sector longs, index hedges and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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