Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 20.1 -3.1%
- Bloomberg Global Risk On/Risk Off Index 2,968.0 +155.0 points
- Euro/Yen Carry Return Index 133.68 +.04%
- Emerging Markets Currency Volatility(VXY) 11.3 +1.4%
- S&P 500 Implied Correlation 49.7 -3.0%
- ISE Sentiment Index 144.0 +23.1 points
- Total Put/Call .75 -12.8%
- NYSE Arms .75 -29.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 56.37 +.1%
- US Energy High-Yield OAS 480.32 -.20%
- European Financial Sector CDS Index 61.54 -.78%
- Italian/German 10Y Yld Spread 97.0 +.75 basis point
- Asia Ex-Japan Investment Grade CDS Index 63.79 +.06%
- Emerging Market CDS Index 191.66 +2.97%
- iBoxx Offshore RMB China Corporate High Yield Index 188.75 -.02%
- 2-Year Swap Spread 13.25 +.75 basis point
- TED Spread 19.75 +1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -4.25 -1.0 basis point
- MBS 5/10 Treasury Spread 74.5 -1.25 basis points
- IHS Markit CMBX BBB- 6 73.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 59.72 -.36%
- 3-Month T-Bill Yield .01% unch.
- Yield Curve 160.0 +8.0 basis points
- China Iron Ore Spot 161.05 USD/Metric Tonne +1.1%
- Citi US Economic Surprise Index 28.30 +7.4 points
- Citi Eurozone Economic Surprise Index 182.80 +19.7 points
- Citi Emerging Markets Economic Surprise Index 27.0 -2.6 points
- 10-Year TIPS Spread 2.35 -2.0 basis points
- 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 -22 open in Japan
- China A50 Futures: Indicating -232 open in China
- DAX Futures: Indicating +2 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/medical sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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