Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 15.0 -1.2%
- Euro/Yen Carry Return Index 129.02 -.1%
- Emerging Markets Currency Volatility(VXY) 9.52 +3.25%
- S&P 500 Implied Correlation 40.37 -1.8%
- ISE Sentiment Index 63.0 -28.4%
- Total Put/Call .89 -13.6%
- NYSE Arms 1.01 -40.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 66.83 -2.1%
- America Energy Sector High-Yield CDS Index 529.0 +.38%
- European Financial Sector CDS Index 83.96 +.65%
- Italian/German 10Y Yld Spread 255.5 +2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 71.84 -.25%
- Emerging Market CDS Index 183.70 -2.14%
- iBoxx Offshore RMB China Corporate High Yield Index 160.90 +.03%
- 2-Year Swap Spread 11.25 +.5 basis point
- TED Spread 18.0 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -13.5 -2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.09 -.18%
- 3-Month T-Bill Yield 2.42% unch.
- Yield Curve 15.25 -1.25 basis points
- China Iron Ore Spot 82.25 USD/Metric Tonne -.53%
- Citi US Economic Surprise Index -40.0 +.3 point
- Citi Eurozone Economic Surprise Index -58.70 -4.3 points
- Citi Emerging Markets Economic Surprise Index -17.20 +.6 point
- 10-Year TIPS Spread 1.83 -1.0 basis point
- 28.2% chance of Fed rate cut at June 19th meeting, 36.7% chance of cut at July 31st meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +172 open in Japan
- China A50 Futures: Indicating +47 open in China
- DAX Futures: Indicating +40 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial/retail/medical/biotech/tech
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
- Market Exposure: Moved to 75% Net Long
No comments:
Post a Comment