Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 18.5 +2.9%
- Euro/Yen Carry Return Index 138.63 +.02%
- Emerging Markets Currency Volatility(VXY) 8.67 +2.9%
- S&P 500 Implied Correlation 42.0 -.6%
- ISE Sentiment Index 89.0 +8.5%
- Total Put/Call .96 -6.8%
- NYSE Arms .91 -.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 62.56 +.79%
- America Energy Sector High-Yield CDS Index 414.0 -.09%
- European Financial Sector CDS Index 57.43 +.87%
- Italian/German 10Y Yld Spread 114.25 +.75 basis point
- Asia Pacific Sovereign Debt CDS Index 12.69 +5.3%
- Emerging Market CDS Index 143.66 +1.14%
- iBoxx Offshore RMB China Corporate High Yield Index 149.24 -.06%
- 2-Year Swap Spread 27.25 +.25 basis point
- TED Spread 51.0 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -7.75 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.38 -.6%
- 3-Month T-Bill Yield 1.85% +1.0 basis point
- Yield Curve 54.0 +1.5 basis points
- China Iron Ore Spot 66.72 USD/Metric Tonne -.40%
- Citi US Economic Surprise Index 41.70 -.1 point
- Citi Eurozone Economic Surprise Index -84.60 +1.2 points
- Citi Emerging Markets Economic Surprise Index 8.7 +.3 point
- 10-Year TIPS Spread 2.18 +1.0 basis point
- 92.0% chance of Fed rate hike at June 13 meeting, 92.5% chance at August 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +60 open in Japan
- China A50 Futures: Indicating unch. open in China
- DAX Futures: Indicating +18 open in Germany
Portfolio:
- Higher: On gains in my tech/industrial/retail sector longs and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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