Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Every Sector Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 19.8 -13.1%
- Euro/Yen Carry Return Index 136.35 -.45%
- Emerging Markets Currency Volatility(VXY) 7.96 -1.0%
- S&P 500 Implied Correlation 47.32 -8.41%
- ISE Sentiment Index 121.0 unch.
- Total Put/Call .95 -29.6%
- NYSE Arms 1.12 +16.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 65.93 -2.21%
- America Energy Sector High-Yield CDS Index 448.0 -.63%
- European Financial Sector CDS Index 65.96 -2.94%
- Italian/German 10Y Yld Spread 129.0 -4.75 basis points
- Asia Pacific Sovereign Debt CDS Index 13.29 -1.23%
- Emerging Market CDS Index 137.0 -3.0%
- iBoxx Offshore RMB China Corporate High Yield Index 148.62 -.05%
- 2-Year Swap Spread 30.75 +2.75 basis points
- TED Spread 60.75 +5.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -6.5 +1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 75.31 +.30%
- 3-Month T-Bill Yield 1.70% -2.0 basis points
- Yield Curve 47.25 -2.0 basis points
- China Iron Ore Spot 64.41 USD/Metric Tonne +.58%
- Citi US Economic Surprise Index 49.8 +1.1 points
- Citi Eurozone Economic Surprise Index -56.80 +.4 point
- Citi Emerging Markets Economic Surprise Index 31.80 +.1 point
- 10-Year TIPS Spread 2.06 unch.
- 78.0% chance of Fed rate hike at June 13 meeting, 79.3% chance at August 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +391 open in Japan
- China A50 Futures: Indicating +139 open in China
- DAX Futures: Indicating +51 open in Germany
Portfolio:
- Higher: On gains in my biotech/retail/industrial/medical/tech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging markets shorts
- Market Exposure: Moved to 100% Net Long
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