Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 12.7 +3.2%
- Euro/Yen Carry Return Index 130.09 -.31%
- Emerging Markets Currency Volatility(VXY) 8.24 +.61%
- S&P 500 Implied Correlation 34.78 -.71%
- ISE Sentiment Index 63.0 -42.7%
- Total Put/Call .86 +8.9%
- NYSE Arms 1.49 +43.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 57.71 +1.06%
- America Energy Sector High-Yield CDS Index 443.0 -.76%
- European Financial Sector CDS Index 71.0 +2.24%
- Italian/German 10Y Yld Spread 264.75 +1.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 63.74 -.01%
- Emerging Market CDS Index 196.92 +9.48%
- iBoxx Offshore RMB China Corporate High Yield Index 161.69 -.03%
- 2-Year Swap Spread 9.25 +.75 basis point
- TED Spread 16.0 -1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -16.0 +2.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.58 -.72%
- 3-Month T-Bill Yield 2.42% -1.0 basis point
- Yield Curve 20.25 -.5 basis point
- China Iron Ore Spot 88.02 USD/Metric Tonne +.02%
- Citi US Economic Surprise Index -65.80 unch.
- Citi Eurozone Economic Surprise Index -38.80 -2.2 points
- Citi Emerging Markets Economic Surprise Index .9 -.7 point
- 10-Year TIPS Spread 1.96 unch.
- 26.7% chance of Fed rate cut at June 19th meeting, 31.4% chance of cut at July 31st meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +30 open in Japan
- China A50 Futures: Indicating -123 open in China
- DAX Futures: Indicating +27 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/medical/retail sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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