Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 19.0 +16.3%
- Euro/Yen Carry Return Index 138.46 +.23%
- Emerging Markets Currency Volatility(VXY) 8.47 +.95%
- S&P 500 Implied Correlation 41.97 +7.3%
- ISE Sentiment Index 84.0 +29.23%
- Total Put/Call 1.07 +15.1%
- NYSE Arms .87 +6.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 62.38 +1.54%
- America Energy Sector High-Yield CDS Index 416.0 -1.75%
- European Financial Sector CDS Index 56.94 +.06%
- Italian/German 10Y Yld Spread 113.5 -2.25 basis points
- Asia Pacific Sovereign Debt CDS Index 12.22 +2.26%
- Emerging Market CDS Index 141.89 +.97%
- iBoxx Offshore RMB China Corporate High Yield Index 149.34 +.01%
- 2-Year Swap Spread 27.25 unch.
- TED Spread 50.25 -5.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -8.0 +3.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.82 +.25%
- 3-Month T-Bill Yield 1.84% +2.0 basis points
- Yield Curve 52.50 +2.5 basis points
- China Iron Ore Spot 67.68 USD/Metric Tonne -.15%
- Citi US Economic Surprise Index 41.80 +8.7 points
- Citi Eurozone Economic Surprise Index -85.80 -2.5 points
- Citi Emerging Markets Economic Surprise Index 8.4 +.1 point
- 10-Year TIPS Spread 2.17 -2.0 basis points
- 91.8% chance of Fed rate hike at June 13 meeting, 92.3% chance at August 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -193 open in Japan
- China A50 Futures: Indicating +2 open in China
- DAX Futures: Indicating -102 open in Germany
Portfolio:
- Lower: On losses in my tech/industrial/biotech/medical sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 25% Net Long
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