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) 12.34 +2.75%
- Euro/Yen Carry Return Index 131.49 +.01%
- Emerging Markets Currency Volatility(VXY) 8.14 -1.09%
- S&P 500 Implied Correlation 34.91 +.87%
- ISE Sentiment Index 109.0 +4.81%
- Total Put/Call .90 +23.3%
- NYSE Arms 1.14 +6.54%
Credit Investor Angst:
- North American Investment Grade CDS Index 56.60 -.79%
- America Energy Sector High-Yield CDS Index 504.0 -1.52%
- European Financial Sector CDS Index 69.99 +3.60%
- Italian/German 10Y Yld Spread 252.25 +3.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 63.96 -2.11%
- Emerging Market CDS Index 177.48 -.09%
- iBoxx Offshore RMB China Corporate High Yield Index 161.39 +.42%
- 2-Year Swap Spread 10.0 -.25 basis point
- TED Spread 18.75 -1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -16.25 -2.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.50 -.12%
- 3-Month T-Bill Yield 2.40% -2.0 basis points
- Yield Curve 16.0 -.5 basis point
- China Iron Ore Spot 94.04 USD/Metric Tonne +.33%
- Citi US Economic Surprise Index -57.40 +1.0 points
- Citi Eurozone Economic Surprise Index -44.0 +1.9 points
- Citi Emerging Markets Economic Surprise Index -5.10 -.2 point
- 10-Year TIPS Spread 1.95 -1.0 basis point
- 6.2% chance of Fed rate cut at June 19th meeting, 10.2% chance of cut at July 31st meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +11 open in Japan
- China A50 Futures: Indicating -70 open in China
- DAX Futures: Indicating +25 open in Germany
Portfolio:
- Slightly Lower: On losses in my industrial/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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