- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 19.7 +2.7%
- Bloomberg Global Risk On/Risk Off Index 3,142.0 +130.0 points
- Euro/Yen Carry Return Index 134.46 -.31%
- Emerging Markets Currency Volatility(VXY) 10.4 +.5%
- S&P 500 Implied Correlation 51.5 +3.1%
- ISE Sentiment Index 122.0 +24.0 point
- Total Put/Call .65 -11.0%
- NYSE Arms .60 +13.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 51.46 +.94%
- US Energy High-Yield OAS 484.22 +.95%
- European Financial Sector CDS Index 56.18 -.2%
- Italian/German 10Y Yld Spread 96.75 +1.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 59.0 -1.6%
- Emerging Market CDS Index 184.95 +2.3%
- iBoxx Offshore RMB China Corporate High Yield Index 188.41 +.73%
- 2-Year Swap Spread 10.25 -1.0 basis point
- TED Spread 18.5 +1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -3.5 +.5 basis point
- MBS 5/10 Treasury Spread 79.0 +1.5 basis points
- IHS Markit CMBX BBB- 6 74.5 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.72 +.29%
- 3-Month T-Bill Yield .01% unch.
- Yield Curve 154.0 +7.0 basis points
- China Iron Ore Spot 161.50 USD/Metric Tonne +1.3%
- Citi US Economic Surprise Index 41.0 +9.7 points
- Citi Eurozone Economic Surprise Index 90.0 -.6 point
- Citi Emerging Markets Economic Surprise Index 34.9 +.1 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 -236 open in Japan
- China A50 Futures: Indicating -204 open in China
- DAX Futures: Indicating -14 open in Germany
Portfolio:
- Lower: On losses in my biotech/tech/energy sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 50% Net Long
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