Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.3 +4.0%
- Euro/Yen Carry Return Index 130.46 +.2%
- Emerging Markets Currency Volatility(VXY) 8.29 +.12%
- S&P 500 Implied Correlation 35.27 +1.38%
- ISE Sentiment Index 63.0 -11.3%
- Total Put/Call .63 -21.3%
- NYSE Arms .81 -8.99%
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 248.0 +.75 basis point
- Asia Ex-Japan Investment Grade CDS Index 67.08 +.73%
- Emerging Market CDS Index 175.47 +2.53%
- iBoxx Offshore RMB China Corporate High Yield Index 161.14 +.08%
- 2-Year Swap Spread 9.25 -1.25 basis points
- TED Spread 18.0 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -17.25 -2.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.50 +.07%
- 3-Month T-Bill Yield 2.42% unch.
- Yield Curve 15.75 unch.
- China Iron Ore Spot 93.47 USD/Metric Tonne +.24%
- Citi US Economic Surprise Index -52.90 +.2 point
- Citi Eurozone Economic Surprise Index -53.70 +5.4 points
- Citi Emerging Markets Economic Surprise Index -8.40 +2.9 points
- 10-Year TIPS Spread 1.92 +1.0 basis point
- 13.6% chance of Fed rate cut at June 19th meeting, 17.6% chance of cut at July 31st meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +50 open in Japan
- China A50 Futures: Indicating +111 open in China
- DAX Futures: Indicating +15 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/retail sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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