Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.4 +5.2%
- Euro/Yen Carry Return Index 129.18 -.25%
- Emerging Markets Currency Volatility(VXY) 9.2 +7.2%
- S&P 500 Implied Correlation 41.24 +3.5%
- ISE Sentiment Index 83.0 -21.0%
- Total Put/Call 1.03 +17.1%
- NYSE Arms 1.82 +203.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 68.42 +.15%
- America Energy Sector High-Yield CDS Index 528.0 -.11%
- European Financial Sector CDS Index 83.41 -2.25%
- Italian/German 10Y Yld Spread 253.5 +5.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 72.02 +.32%
- Emerging Market CDS Index 187.0 +6.03%
- iBoxx Offshore RMB China Corporate High Yield Index 160.86 +.08%
- 2-Year Swap Spread 10.75 +2.0 basis points
- TED Spread 17.0 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -11.5 -3.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.39 -.45%
- 3-Month T-Bill Yield 2.42% -2.0 basis points
- Yield Curve 16.5 +.75 basis point
- China Iron Ore Spot 84.20 USD/Metric Tonne +.73%
- Citi US Economic Surprise Index -40.30 unch.
- Citi Eurozone Economic Surprise Index -54.40 -.6 point
- Citi Emerging Markets Economic Surprise Index -17.80 +1.0 point
- 10-Year TIPS Spread 1.84 -2.0 basis points
- 27.9% chance of Fed rate cut at June 19th meeting, 35.3% chance of cut at July 31st meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -188 open in Japan
- China A50 Futures: Indicating -58 open in China
- DAX Futures: Indicating +41 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial/retail sector longs, index hedges and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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