Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 16.9 -3.2%
- Euro/Yen Carry Return Index 138.04 +.14%
- Emerging Markets Currency Volatility(VXY) 8.17 -1.68%
- S&P 500 Implied Correlation 43.47 +2.0%
- ISE Sentiment Index 82.0 unch.
- Total Put/Call .90 -8.16%
- NYSE Arms 1.0 -6.73%
Credit Investor Angst:
- North American Investment Grade CDS Index 59.46 -3.61%
- America Energy Sector High-Yield CDS Index 425.0 -1.36%
- European Financial Sector CDS Index 56.51 -1.6%
- Italian/German 10Y Yld Spread 127.75 -.75 basis point
- Asia Pacific Sovereign Debt CDS Index 12.52 +.68%
- Emerging Market CDS Index 138.72 -.96%
- iBoxx Offshore RMB China Corporate High Yield Index 149.32 +.07%
- 2-Year Swap Spread 30.75 -1.0 basis point
- TED Spread 59.0 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -7.5 +1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 74.72 +.20%
- 3-Month T-Bill Yield 1.74% -1.0 basis point
- Yield Curve 45.5 -1.0 basis point
- China Iron Ore Spot 63.80 USD/Metric Tonne +.20%
- Citi US Economic Surprise Index 21.80 -3.4 points
- Citi Eurozone Economic Surprise Index -87.80 +1.1 points
- Citi Emerging Markets Economic Surprise Index 7.5 -10.1 points
- 10-Year TIPS Spread 2.13 -1.0 basis point
- 88.6% chance of Fed rate hike at June 13 meeting, 89.3% chance at August 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -20 open in Japan
- China A50 Futures: Indicating +4 open in China
- DAX Futures: Indicating +24 open in Germany
Portfolio:
- Higher: On gains in my industrial/tech/retail medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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