Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 16.06 +17.8%
- Euro/Yen Carry Return Index 129.14 -1.41%
- Emerging Markets Currency Volatility(VXY) 8.38 +6.89%
- S&P 500 Implied Correlation 39.50 -15.6%
- ISE Sentiment Index 58.0 -26.6%
- Total Put/Call .85 +16.4%
- NYSE Arms 1.72 +39.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 66.76 +3.19%
- America Energy Sector High-Yield CDS Index 520.0 +.62%
- European Financial Sector CDS Index 88.17 +5.95%
- Italian/German 10Y Yld Spread 246.25 +4.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 71.92 -.48%
- Emerging Market CDS Index 177.50 +6.74%
- iBoxx Offshore RMB China Corporate High Yield Index 160.34 +.17%
- 2-Year Swap Spread 8.75 -.5 basis point
- TED Spread 15.75 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -12.0 -1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.23 -1.37%
- 3-Month T-Bill Yield 2.45% unch.
- Yield Curve 13.0 +.25 basis point
- China Iron Ore Spot 83.55 USD/Metric Tonne +1.42%
- Citi US Economic Surprise Index -33.80 -1.6 points
- Citi Eurozone Economic Surprise Index -60.0 -34.9 points
- Citi Emerging Markets Economic Surprise Index -20.90 +.4 point
- 10-Year TIPS Spread 1.91 -5.0 basis points
- 18.4% chance of Fed rate cut at June 19th meeting, 25.7% chance of cut at July 31st meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -582 open in Japan
- China A50 Futures: Indicating -158 open in China
- DAX Futures: Indicating +27 open in Germany
Portfolio:
- Lower: On losses in my industrial/tech/retail/medical/biotech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 50% Net Long
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