Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.7 +2.1%
- Euro/Yen Carry Return Index 137.45 -.21%
- Emerging Markets Currency Volatility(VXY) 8.30 -.12%
- S&P 500 Implied Correlation 42.81 +.59%
- ISE Sentiment Index 80.0 -8.05%
- Total Put/Call .88 +1.15%
- NYSE Arms 1.12 +1.87%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.76 +1.11%
- America Energy Sector High-Yield CDS Index 399.0 -1.40%
- European Financial Sector CDS Index 57.0 +.97%
- Italian/German 10Y Yld Spread 122.50 +5.5 basis points
- Asia Pacific Sovereign Debt CDS Index 12.04 +.84%
- Emerging Market CDS Index 142.39 +1.29%
- iBoxx Offshore RMB China Corporate High Yield Index 149.39 -.03%
- 2-Year Swap Spread 25.75 +.75 basis point
- TED Spread 55.0 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -10.5 -1.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.28 -.42%
- 3-Month T-Bill Yield 1.8% -1.0 basis point
- Yield Curve 45.5 -2.5 basis points
- China Iron Ore Spot 65.63 USD/Metric Tonne unch.
- Citi US Economic Surprise Index 41.8 -4.2 points
- Citi Eurozone Economic Surprise Index -77.50 +5.9 points
- Citi Emerging Markets Economic Surprise Index 3.2 -5.5 points
- 10-Year TIPS Spread 2.18 +1.0 basis point
- 92.7% chance of Fed rate hike at June 13 meeting, 93.2% chance at August 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +11 open in Japan
- China A50 Futures: Indicating +90 open in China
- DAX Futures: Indicating -42 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail/medical/biotech/industrial sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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