Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 20.3 +13.9%
- Euro/Yen Carry Return Index 135.40 -.67%
- Emerging Markets Currency Volatility(VXY) 7.85 +.90%
- S&P 500 Implied Correlation 43.96 +1.31%
- ISE Sentiment Index 100.0 +13.64%
- Total Put/Call 1.26 +8.6%
- NYSE Arms 1.76 +93.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 64.18 +3.77%
- America Energy Sector High-Yield CDS Index 430.0 +.96%
- European Financial Sector CDS Index 65.57 +3.69%
- Italian/German 10Y Yld Spread 134.0 +2.75 basis points
- Asia Pacific Sovereign Debt CDS Index 13.02 +1.24%
- Emerging Market CDS Index 142.28 +2.43%
- iBoxx Offshore RMB China Corporate High Yield Index 148.55 -.03%
- 2-Year Swap Spread 32.0 -.75 basis point
- TED Spread 54.75 +8.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -9.25 -3.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 75.06 -.25%
- 3-Month T-Bill Yield 1.71% -3.0 basis points
- Yield Curve 54.5 -3.75 basis points
- China Iron Ore Spot 65.27 USD/Metric Tonne -2.84%
- Citi US Economic Surprise Index 39.4 unch.
- Citi Eurozone Economic Surprise Index -57.90 -19.3 points
- Citi Emerging Markets Economic Surprise Index 37.20 -.4 point
- 10-Year TIPS Spread 2.08 -2.0 basis points
- 79.0% chance of Fed rate hike at June 13 meeting, 79.9% chance at August 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -471 open in Japan
- China A50 Futures: Indicating -178 open in China
- DAX Futures: Indicating -14 open in Germany
Portfolio:
- Lower: On losses in my industrial/retail/biotech/tech/medical 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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