Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.1 -2.7%
- Euro/Yen Carry Return Index 136.85 -.22%
- Emerging Markets Currency Volatility(VXY) 8.80 +3.77%
- S&P 500 Implied Correlation 41.51 -1.5%
- ISE Sentiment Index 83.0 -10.8%
- Total Put/Call .90 -18.2%
- NYSE Arms 1.22 -8.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.77 +.03%
- America Energy Sector High-Yield CDS Index 397.0 -1.04%
- European Financial Sector CDS Index 58.28 -.76%
- Italian/German 10Y Yld Spread 121.0 -1.5 basis points
- Asia Pacific Sovereign Debt CDS Index 11.97 -2.29%
- Emerging Market CDS Index 148.78 +2.49%
- iBoxx Offshore RMB China Corporate High Yield Index 149.31 +.01%
- 2-Year Swap Spread 26.5 +1.25 basis points
- TED Spread 51.0 -2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -5.75 +5.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.50 -.52%
- 3-Month T-Bill Yield 1.83% unch.
- Yield Curve 46.25 -.25 basis point
- China Iron Ore Spot 67.34 USD/Metric Tonne +.58%
- Citi US Economic Surprise Index 35.9 -.6 point
- Citi Eurozone Economic Surprise Index -78.0 -.7 point
- Citi Emerging Markets Economic Surprise Index 1.4 +1.0 points
- 10-Year TIPS Spread 2.17 +1.0 basis point
- 95.2% chance of Fed rate hike at June 13 meeting, 95.4% chance at August 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +47 open in Japan
- China A50 Futures: Indicating +8 open in China
- DAX Futures: Indicating +10 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/retail sector longs and emerging markets shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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