Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.2 -2.51%
- Euro/Yen Carry Return Index 131.56 +.13%
- Emerging Markets Currency Volatility(VXY) 7.83 +1.03%
- S&P 500 Implied Correlation 37.91 -2.47%
- ISE Sentiment Index 67.0 -25.6%
- Total Put/Call .91 -5.21%
- NYSE Arms 1.04 -4.59%
Credit Investor Angst:
- North American Investment Grade CDS Index 63.75 +10.7%(new series)
- America Energy Sector High-Yield CDS Index 512.0 +2.22%
- European Financial Sector CDS Index 78.68 +15.4%
- Italian/German 10Y Yld Spread 239.75 +2.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 73.49 +14.0%
- Emerging Market CDS Index 165.57 -.12%
- iBoxx Offshore RMB China Corporate High Yield Index 160.02 +.09%
- 2-Year Swap Spread 11.0 +.75 basis point
- TED Spread 19.0 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -12.0 -2.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 68.35 +.61%
- 3-Month T-Bill Yield 2.45% unch.
- Yield Curve 14.0 -.25 basis point
- China Iron Ore Spot 83.04 USD/Metric Tonne +.67%
- Citi US Economic Surprise Index -35.40 +.9 point
- Citi Eurozone Economic Surprise Index -25.50 +.9 point
- Citi Emerging Markets Economic Surprise Index -23.50 +1.2 points
- 10-Year TIPS Spread 1.97 +2.0 basis points
- 0.0% chance of Fed rate hike at June 19th meeting, 0.0% chance at July 31st meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -197 open in Japan
- China A50 Futures: Indicating +23 open in China
- DAX Futures: Indicating +51 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech/retail sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
No comments:
Post a Comment