Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 13.06 -.38%
- Euro/Yen Carry Return Index 129.78 +.03%
- Emerging Markets Currency Volatility(VXY) 8.08 -.62%
- S&P 500 Implied Correlation 36.68 +1.7%
- ISE Sentiment Index 76.0 -29.0%
- Total Put/Call 1.01 +18.8%
- NYSE Arms 1.12 -14.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 57.68 +.06%
- America Energy Sector High-Yield CDS Index 453.0 +.42%
- European Financial Sector CDS Index 68.53 -.74%
- Italian/German 10Y Yld Spread 254.0 -4.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 64.30 +.20%
- Emerging Market CDS Index 191.56 +.03%
- iBoxx Offshore RMB China Corporate High Yield Index 162.04 +.02%
- 2-Year Swap Spread 11.25 +.5 basis point
- TED Spread 16.25 -1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -20.25 -1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.62 +.17%
- 3-Month T-Bill Yield 2.41% unch.
- Yield Curve 23.75 unch.
- China Iron Ore Spot 92.50 USD/Metric Tonne +.49%
- Citi US Economic Surprise Index -58.70 -1.6 points
- Citi Eurozone Economic Surprise Index -31.10 +13.3 points
- Citi Emerging Markets Economic Surprise Index -10.2 -6.9 points
- 10-Year TIPS Spread 1.95 -2.0 basis points
- 23.3% chance of Fed rate cut at June 19th meeting, 31.6% chance of cut at July 31st meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +132 open in Japan
- China A50 Futures: Indicating -27 open in China
- DAX Futures: Indicating +42 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech/retail sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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