Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.5 -1.7%
- Euro/Yen Carry Return Index 130.09 -.03%
- Emerging Markets Currency Volatility(VXY) 8.45 -1.86%
- S&P 500 Implied Correlation 36.43 -1.3%
- ISE Sentiment Index 115.0 +38.5%
- Total Put/Call .81 -4.71%
- NYSE Arms .63 -55.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.25 -1.27%
- America Energy Sector High-Yield CDS Index 513.0 +.16%
- European Financial Sector CDS Index 77.44 +1.49%
- Italian/German 10Y Yld Spread 252.5 -.75 basis point
- Asia Ex-Japan Investment Grade CDS Index 66.53 -.49%
- Emerging Market CDS Index 172.54 +.30%
- iBoxx Offshore RMB China Corporate High Yield Index 160.98 -.01%
- 2-Year Swap Spread 10.5 -.75 basis point
- TED Spread 18.75 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -14.25 -.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.48 unch.
- 3-Month T-Bill Yield 2.42% unch.
- Yield Curve 17.5 -1.25 basis points
- China Iron Ore Spot 91.56 USD/Metric Tonne +1.57%
- Citi US Economic Surprise Index -55.10 +2.6 points
- Citi Eurozone Economic Surprise Index -61.0 -8.0 points
- Citi Emerging Markets Economic Surprise Index -11.60 -2.0 points
- 10-Year TIPS Spread 1.91 unch.
- 15.3% chance of Fed rate cut at June 19th meeting, 21.0% chance of cut at July 31st meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +76 open in Japan
- China A50 Futures: Indicating +112 open in China
- DAX Futures: Indicating +27 open in Germany
Portfolio:
- Slightly Higher: On gains in my retail/industrial sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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