Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 13.52 -3.5%
- Euro/Yen Carry Return Index 130.76 -.41%
- Emerging Markets Currency Volatility(VXY) 7.92 +2.06%
- S&P 500 Implied Correlation 37.22 -5.72%
- ISE Sentiment Index 81.0 +24.62%
- Total Put/Call .69 -19.8%
- NYSE Arms 1.61 +29.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 64.35 -1.68%
- America Energy Sector High-Yield CDS Index 519.0 +1.43%
- European Financial Sector CDS Index 83.21 +5.76%
- Italian/German 10Y Yld Spread 241.5 +1.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 72.69 -.85%
- Emerging Market CDS Index 166.27 +.35%
- iBoxx Offshore RMB China Corporate High Yield Index 160.06 +.03%
- 2-Year Swap Spread 9.25 -1.75 basis points
- TED Spread 16.0 -3.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -13.25 -1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 68.13 -.23%
- 3-Month T-Bill Yield 2.45% unch.
- Yield Curve 12.75 -1.25 basis points
- China Iron Ore Spot 81.687 USD/Metric Tonne +.59%
- Citi US Economic Surprise Index -32.20 +3.2 points
- Citi Eurozone Economic Surprise Index -25.10 +.4 point
- Citi Emerging Markets Economic Surprise Index -21.30 +2.2 points
- 10-Year TIPS Spread 1.96 -1.0 basis point
- 8.5% chance of Fed rate cut at June 19th meeting, 15.2% chance of cut at July 31st meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -199 open in Japan
- China A50 Futures: Indicating +33 open in China
- DAX Futures: Indicating +50 open in Germany
Portfolio:
- Higher: On gains in my industrial/tech/retail/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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