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) 15.3 -6.1%
- Euro/Yen Carry Return Index 129.51 +.18%
- Emerging Markets Currency Volatility(VXY) 8.61 +1.18%
- S&P 500 Implied Correlation 40.57 +.35%
- ISE Sentiment Index 109.0 +87.9%
- Total Put/Call .93 +8.14%
- NYSE Arms .71 -31.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 68.23 -.64%
- America Energy Sector High-Yield CDS Index 529.0 +1.52%
- European Financial Sector CDS Index 85.33 -4.45%
- Italian/German 10Y Yld Spread 248.25 -4.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 71.55 -1.12%
- Emerging Market CDS Index 176.45 -.19%
- iBoxx Offshore RMB China Corporate High Yield Index 160.73 +.06%
- 2-Year Swap Spread 8.75 +2.0 basis points
- TED Spread 16.75 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -15.25 -2.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.71 +.08%
- 3-Month T-Bill Yield 2.44% -1.0 basis point
- Yield Curve 15.75 -.5 basis point
- China Iron Ore Spot 82.22 USD/Metric Tonne +.13%
- Citi US Economic Surprise Index -40.30 -6.4 points
- Citi Eurozone Economic Surprise Index -53.80 +.1 point
- Citi Emerging Markets Economic Surprise Index -18.80 +.2 point
- 10-Year TIPS Spread 1.86 -2.0 basis points
- 22.6% chance of Fed rate cut at June 19th meeting, 30.8% chance of cut at July 31st meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -168 open in Japan
- China A50 Futures: Indicating +74 open in China
- DAX Futures: Indicating +15 open in Germany
Portfolio:
- Higher: On gains in my industrial/tech/retail/medical/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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