Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 20.5 +8.6%
- Bloomberg Global Risk On/Risk Off Index 2,833.0 -25.0 points
- Euro/Yen Carry Return Index 133.64 -.05%
- Emerging Markets Currency Volatility(VXY) 11.2 +.72%
- S&P 500 Implied Correlation 50.5 -1.4%
- ISE Sentiment Index 117.0 +19.4 points
- Total Put/Call .87 -2.3%
- NYSE Arms 1.14 -20.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 56.76 +.68%
- US Energy High-Yield OAS 483.54 -.60%
- European Financial Sector CDS Index 61.99 -2.4%
- Italian/German 10Y Yld Spread 96.25 -.75 basis point
- Asia Ex-Japan Investment Grade CDS Index 63.73 +.23%
- Emerging Market CDS Index 184.43 +1.68%
- iBoxx Offshore RMB China Corporate High Yield Index 188.78 +.08%
- 2-Year Swap Spread 12.5 +.5 basis point
- TED Spread 18.5 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -3.25 -.75 basis point
- MBS 5/10 Treasury Spread 75.75 +.75 basis point
- IHS Markit CMBX BBB- 6 73.25 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.0 -.30%
- 3-Month T-Bill Yield .01% -1.0 basis point
- Yield Curve 152.0 +4.0 basis points
- China Iron Ore Spot 160.30 USD/Metric Tonne +4.8%
- Citi US Economic Surprise Index 20.60 -3.5 points
- Citi Eurozone Economic Surprise Index 163.10 +11.4 points
- Citi Emerging Markets Economic Surprise Index 29.60 -.3 point
- 10-Year TIPS Spread 2.37 +4.0 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 +35 open in Japan
- China A50 Futures: Indicating -5 open in China
- DAX Futures: Indicating +71 open in Germany
Portfolio:
- Higher: On gains in my industrial/medical sector longs, index hedges and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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