Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.01 +6.3%
- Euro/Yen Carry Return Index 130.04 -.31%
- Emerging Markets Currency Volatility(VXY) 8.16 -1.45%
- S&P 500 Implied Correlation 36.48 +4.26%
- ISE Sentiment Index 137.0 +101.40%
- Total Put/Call .84 +.12%
- NYSE Arms 1.26 +48.24%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.31 +.09%
- America Energy Sector High-Yield CDS Index 509.0 -2.92%
- European Financial Sector CDS Index 75.92 +2.13%
- Italian/German 10Y Yld Spread 243.50 -4.5 basis points
- Asia Ex-Japan Investment Grade CDS Index 67.30 +.64%
- Emerging Market CDS Index 175.75 +.40%
- iBoxx Offshore RMB China Corporate High Yield Index 161.16 +.01%
- 2-Year Swap Spread 8.75 -.5 basis point
- TED Spread 18.75 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -17.5 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.53 +.10%
- 3-Month T-Bill Yield 2.40% -2.0 basis points
- Yield Curve 15.5 +.25 basis point
- China Iron Ore Spot 91.70 USD/Metric Tonne +.39%
- Citi US Economic Surprise Index -55.70 -2.8 points
- Citi Eurozone Economic Surprise Index -51.80 +2.9 points
- Citi Emerging Markets Economic Surprise Index -6.90 +1.5 points
- 10-Year TIPS Spread 1.91 -1.0 basis point
- 13.6% chance of Fed rate cut at June 19th meeting, 19.3% chance of cut at July 31st meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -142 open in Japan
- China A50 Futures: Indicating -20 open in China
- DAX Futures: Indicating +32 open in Germany
Portfolio:
- Lower: On losses in my biotech/retail/tech/industrial sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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