Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 18.9 +9.3%
- Bloomberg Global Risk On/Risk Off Index 3,061.0 -210.0 points
- Euro/Yen Carry Return Index 134.4 -.1%
- Emerging Markets Currency Volatility(VXY) 9.9 -.2%
- S&P 500 Implied Correlation 50.5 +5.2%
- ISE Sentiment Index 88.0 +7.0 points
- Total Put/Call .81 -10.0%
- NYSE Arms 1.17 +54.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 51.64 +1.84%
- US Energy High-Yield OAS 455.77 +1.56%
- European Financial Sector CDS Index 59.59 +2.6%
- Italian/German 10Y Yld Spread 104.0 +3.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 80.40 +6.49%
- Emerging Market CDS Index 167.75 +2.94%
- China Corp. High-Yield Bond USD ETF 39.08 unch.
- 2-Year Swap Spread 11.75 +.25 basis point
- TED Spread 16.75 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -3.25 unch.
- MBS 5/10 Treasury Spread 66.5 +.25 basis point
- IHS Markit CMBX BBB- 6 72.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.97 -.15%
- 3-Month T-Bill Yield .02% unch.
- Yield Curve 145.0 +4.0 basis points
- China Iron Ore Spot 181.0 USD/Metric Tonne +2.1%
- Citi US Economic Surprise Index 31.60 -3.9 points
- Citi Eurozone Economic Surprise Index 134.0 -2.2 points
- Citi Emerging Markets Economic Surprise Index 33.9 -1.4 points
- 10-Year TIPS Spread 2.32 -4.0 basis points
- 90.1% chance of no change at June 16th meeting, 90.1% chance of no change at Sept. 22nd meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -490 open in Japan
- China A50 Futures: Indicating -202 open in China
- DAX Futures: Indicating +51 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/industrial/energy sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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