Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 24.1 +7.0%
- Euro/Yen Carry Return Index 136.88 +.61%
- Emerging Markets Currency Volatility(VXY) 8.02 -.25%
- S&P 500 Implied Correlation 50.99 +3.93%
- ISE Sentiment Index 121.0 unch.
- Total Put/Call 1.34 +25.23%
- NYSE Arms .95 -38.62%
Credit Investor Angst:
- North American Investment Grade CDS Index 67.63 +1.21%
- America Energy Sector High-Yield CDS Index 444.0 +.29%
- European Financial Sector CDS Index 67.96 +1.58%
- Italian/German 10Y Yld Spread 133.75 -5.0 basis points
- Asia Pacific Sovereign Debt CDS Index 13.45 +1.81%
- Emerging Market CDS Index 141.53 -1.65%
- iBoxx Offshore RMB China Corporate High Yield Index 148.69 +.07%
- 2-Year Swap Spread 28.0 unch.
- TED Spread 55.25 +3.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -7.75 -3.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 75.08 -.31%
- 3-Month T-Bill Yield 1.72% -3.0 basis points
- Yield Curve 49.25 -1.5 basis points
- China Iron Ore Spot 63.20 USD/Metric Tonne +.19%
- Citi US Economic Surprise Index 48.7 +1.5 points
- Citi Eurozone Economic Surprise Index -57.20 +.3 point
- Citi Emerging Markets Economic Surprise Index 31.70 -1.3 points
- 10-Year TIPS Spread 2.06 -1.0 basis point
- 79.4% chance of Fed rate hike at June 13 meeting, 80.3% chance at August 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +254 open in Japan
- China A50 Futures: Indicating -104 open in China
- DAX Futures: Indicating -4 open in Germany
Portfolio:
- Higher: On gains in my biotech/retail sector longs, index hedges and emerging markets shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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