Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 12.2 -6.2%
- Euro/Yen Carry Return Index 131.47 +.69%
- Emerging Markets Currency Volatility(VXY) 8.22 +1.48%
- S&P 500 Implied Correlation 34.7 -3.5%
- ISE Sentiment Index 115.0 +15.0%
- Total Put/Call .74 -26.0%
- NYSE Arms 1.09 -23.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 56.74 -3.7%
- America Energy Sector High-Yield CDS Index 507.0 -.88%
- European Financial Sector CDS Index 67.55 -4.08%
- Italian/German 10Y Yld Spread 248.5 +10.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 65.31 -1.81%
- Emerging Market CDS Index 177.70 -1.03%
- iBoxx Offshore RMB China Corporate High Yield Index 160.71 -.22%
- 2-Year Swap Spread 10.25 +1.25 basis points
- TED Spread 20.0 +2.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -13.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.57 +.11%
- 3-Month T-Bill Yield 2.42% unch.
- Yield Curve 16.50 +1.5 basis points
- China Iron Ore Spot 93.50 USD/Metric Tonne +2.2%
- Citi US Economic Surprise Index -58.40 -1.3 points
- Citi Eurozone Economic Surprise Index -45.90 +1.4 points
- Citi Emerging Markets Economic Surprise Index -4.80 -.3 point
- 10-Year TIPS Spread 1.96 +2.0 basis points
- 10.9% chance of Fed rate cut at June 19th meeting, 12.3% chance of cut at July 31st meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +210 open in Japan
- China A50 Futures: Indicating +260 open in China
- DAX Futures: Indicating +25 open in Germany
Portfolio:
- Higher: On gains in my tech/retail/industrial sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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