Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 17.6 -3.1%
- Bloomberg Global Risk On/Risk Off Index 3,150.0 +25.0 points
- Euro/Yen Carry Return Index 134.82 +.06%
- Emerging Markets Currency Volatility(VXY) 10.7 -.3%
- S&P 500 Implied Correlation 49.1 -.22%
- ISE Sentiment Index 136.0 +14.0 points
- Total Put/Call .77 +14.9%
- NYSE Arms .89 -8.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 51.95 +.65%
- US Energy High-Yield OAS 458.08 -.25%
- European Financial Sector CDS Index 58.90 +1.2%
- Italian/German 10Y Yld Spread 101.0 unch.
- Asia Ex-Japan Investment Grade CDS Index 67.12 +3.9%
- Emerging Market CDS Index 178.46 +2.6%
- iBoxx Offshore RMB China Corporate High Yield Index 189.22 +.10%
- 2-Year Swap Spread 13.5 -.25 basis point
- TED Spread 19.0 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -1.5 unch.
- MBS 5/10 Treasury Spread 71.0 +1.0 basis point
- IHS Markit CMBX BBB- 6 73.5 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.60 unch.
- 3-Month T-Bill Yield .01% unch.
- Yield Curve 150.0 -2.0 basis points
- China Iron Ore Spot 163.55 USD/Metric Tonne +.36%
- Citi US Economic Surprise Index 38.70 -.4 point
- Citi Eurozone Economic Surprise Index 170.50 +3.8 points
- Citi Emerging Markets Economic Surprise Index 25.60 +.1 point
- 10-Year TIPS Spread 2.34 +1.0 basis point
- 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 -147 open in China
- DAX Futures: Indicating +37 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/energy sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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