Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 17.56 -3.46%
- Euro/Yen Carry Return Index 136.22 +.30%
- Emerging Markets Currency Volatility(VXY) 7.85 -.51%
- S&P 500 Implied Correlation 42.11 -4.73%
- ISE Sentiment Index 99.0 +12.5%
- Total Put/Call 1.19 +43.4%
- NYSE Arms .65 -29.61%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.84 -1.67%
- America Energy Sector High-Yield CDS Index 426.0 +1.82%
- European Financial Sector CDS Index 63.23 +.49%
- Italian/German 10Y Yld Spread 131.25 unch.
- Asia Pacific Sovereign Debt CDS Index 12.86 -.46%
- Emerging Market CDS Index 139.14 -2.27%
- iBoxx Offshore RMB China Corporate High Yield Index 148.58 +.03%
- 2-Year Swap Spread 32.75 +2.75 basis points
- TED Spread 45.25 +4.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -6.25 +11.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 75.22 +.58%
- 3-Month T-Bill Yield 1.74% -5.0 basis points
- Yield Curve 58.25 +3.5 basis points
- China Iron Ore Spot 66.55 USD/Metric Tonne +.39%
- Citi US Economic Surprise Index 39.4 -2.0 points
- Citi Eurozone Economic Surprise Index -38.60 -.7 points
- Citi Emerging Markets Economic Surprise Index 37.60 -.9 point
- 10-Year TIPS Spread 2.10 +1.0 basis point
- 78.5% chance of Fed rate hike at June 13 meeting, 80.7% chance at August 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -95 open in Japan
- China A50 Futures: Indicating -49 open in China
- DAX Futures: Indicating -29 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial/retail/biotech/tech sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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