Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 18.5 +5.9%
- Bloomberg Global Risk On/Risk Off Index 3,045.0 -28.0 points
- Euro/Yen Carry Return Index 134.06 -.22%
- Emerging Markets Currency Volatility(VXY) 10.0 +.3%
- S&P 500 Implied Correlation 51.7 +4.6%
- ISE Sentiment Index 135.0 -15.0 points
- Total Put/Call .76 +8.6%
- NYSE Arms .82 +51.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 52.06 +.99%
- US Energy High-Yield OAS 456.46 +.10%
- European Financial Sector CDS Index 59.29 -.24%
- Italian/German 10Y Yld Spread 102.0 unch.
- Asia Ex-Japan Investment Grade CDS Index 79.5 +1.5%
- Emerging Market CDS Index 166.65 +.58%
- China Corp. High-Yield Bond USD ETF(KCCB) 39.10 unch.
- 2-Year Swap Spread 12.25 +.25 basis point
- TED Spread 16.75 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -4.0 +1.0 basis point
- MBS 5/10 Treasury Spread 64.25 -.25 basis point
- IHS Markit CMBX BBB- 6 71.5 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.78 -.13%
- 3-Month T-Bill Yield .02% +1.0 basis point
- Yield Curve 139.0 -3.0 basis points
- China Iron Ore Spot 180.0 USD/Metric Tonne unch.
- Citi US Economic Surprise Index 28.30 -.6 point
- Citi Eurozone Economic Surprise Index 132.0 +.4 point
- Citi Emerging Markets Economic Surprise Index 37.7 +3.2 points
- 10-Year TIPS Spread 2.33 -1.0 basis point
- 89.4% chance of no change at June 16th meeting, 89.4% chance of no change at Sept. 22nd meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -198 open in Japan
- China A50 Futures: Indicating -68 open in China
- DAX Futures: Indicating -37 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/energy sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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