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) 20.0 -1.1%
- Bloomberg Global Risk On/Risk Off Index 2,612.0 -33.0 points
- Euro/Yen Carry Return Index 133.02 unch.
- Emerging Markets Currency Volatility(VXY) 11.4 unch.
- S&P 500 Implied Correlation 55.0 +6.2%
- ISE Sentiment Index 104.0 -5.0 points
- Total Put/Call .81 -1.2%
- NYSE Arms 1.26 -20.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 57.13 +.15%
- US Energy High-Yield OAS 495.32 -.79%
- European Financial Sector CDS Index 61.87 -2.0%
- Italian/German 10Y Yld Spread 95.0 -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 65.5 -.5%
- Emerging Market CDS Index 176.31 -1.5%
- iBoxx Offshore RMB China Corporate High Yield Index 188.62 +.03%
- 2-Year Swap Spread 11.75 +.25 basis point
- TED Spread 17.75 -1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -3.5 +1.0 basis point
- MBS 5/10 Treasury Spread 76.5 -.5 basis point
- IHS Markit CMBX BBB- 6 73.75 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.56 -.2%
- 3-Month T-Bill Yield .01% unch.
- Yield Curve 145.0 -7.0 basis points
- China Iron Ore Spot 155.80 USD/Metric Tonne +.03%
- Citi US Economic Surprise Index 22.10 -8.6 points
- Citi Eurozone Economic Surprise Index 150.20 +61.6 points
- Citi Emerging Markets Economic Surprise Index 29.80 -.4 point
- 10-Year TIPS Spread 2.31 unch.
- 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 +85 open in Japan
- China A50 Futures: Indicating +51 open in China
- DAX Futures: Indicating -4 open in Germany
Portfolio:
- Higher: On gains in my industrial/energy/medical sector longs
- Disclosed Trades: None of note
- Market Exposure: 50% Net Long
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