Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 21.62 -13.1%
- Euro/Yen Carry Return Index 136.51 +1.3%
- Emerging Markets Currency Volatility(VXY) 7.92 +1.28%
- S&P 500 Implied Correlation 46.83 -5.8%
- ISE Sentiment Index 92.0 +29.6%
- Total Put/Call 1.23 -20.1%
- NYSE Arms .70 -44.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 66.59 -1.27%
- America Energy Sector High-Yield CDS Index 445.0 +1.46%
- European Financial Sector CDS Index 68.75 +1.18%
- Italian/German 10Y Yld Spread 135.0 -.75 basis point
- Asia Pacific Sovereign Debt CDS Index 13.30 -1.66%
- Emerging Market CDS Index 143.75 -3.31%
- iBoxx Offshore RMB China Corporate High Yield Index 148.58 +.02%
- 2-Year Swap Spread 33.0 -.25 basis point
- TED Spread 55.75 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -7.25 +2.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 75.43 +.49%
- 3-Month T-Bill Yield 1.74% +2.0 basis points
- Yield Curve 56.75 +.25 basis point
- China Iron Ore Spot 63.20 USD/Metric Tonne +.97%
- Citi US Economic Surprise Index 46.8 +.5 point
- Citi Eurozone Economic Surprise Index -56.20 +1.7 points
- Citi Emerging Markets Economic Surprise Index 34.60 -.8 point
- 10-Year TIPS Spread 2.08 unch.
- 80.9% chance of Fed rate hike at June 13 meeting, 82.1% chance at August 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -156 open in Japan
- China A50 Futures: Indicating +19 open in China
- DAX Futures: Indicating +87 open in Germany
Portfolio:
- Higher: On gains in my industrial/retail/biotech/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
No comments:
Post a Comment