Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 19.2 -8.6%
- Bloomberg Global Risk On/Risk Off Index 2,893.0 +37.0 points
- Euro/Yen Carry Return Index 134.3 +.2%
- Emerging Markets Currency Volatility(VXY) 10.4 +.9%
- S&P 500 Implied Correlation 51.6 +11.1%
- ISE Sentiment Index 117.0 -9.0 point
- Total Put/Call .71 -15.5%
- NYSE Arms 1.6 +12.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 57.3 +9.6% (new series)
- US Energy High-Yield OAS 492.25 -.25%
- European Financial Sector CDS Index 64.16 +12.4%
- Italian/German 10Y Yld Spread 98.0 +1.5 basis points
- Asia Ex-Japan Investment Grade CDS Index 67.5 +14.6%
- Emerging Market CDS Index 167.27 -7.6%
- iBoxx Offshore RMB China Corporate High Yield Index 188.51 +.03%
- 2-Year Swap Spread 11.5 +.75 basis point
- TED Spread 20.0 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -5.5 -2.75 basis points
- MBS 5/10 Treasury Spread 81.0 +1.0 basis point
- IHS Markit CMBX BBB- 6 74.25 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.25 +1.25%
- 3-Month T-Bill Yield .00% unch.
- Yield Curve 153.0 -2.0 basis points
- China Iron Ore Spot 154.25 USD/Metric Tonne +2.0%
- Citi US Economic Surprise Index 40.90 -.1 point
- Citi Eurozone Economic Surprise Index 87.1 -2.3 points
- Citi Emerging Markets Economic Surprise Index 33.0 -.9 point
- 10-Year TIPS Spread 2.32 +1.0 basis point
- 100.0% chance of no change at June 16th meeting, 100.0% chance of no change at Sept. 22nd meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +61 open in Japan
- China A50 Futures: Indicating +12 open in China
- DAX Futures: Indicating +20 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/tech/energy/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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