- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 16.7 -1.5%
- DJIA Intraday % Swing .60%
- Bloomberg Global Risk On/Risk Off Index 58.3 +.24%
- Euro/Yen Carry Return Index 153.7 +.08%
- Emerging Markets Currency Volatility(VXY) 10.0 unch.
- CBOE S&P 500 Implied Correlation Index 30.9 +.8%
- ISE Sentiment Index 115.0 +20.0 points
- Total Put/Call .90 -11.8%
- NYSE Arms .93 +31.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 73.5 -.25%
- US Energy High-Yield OAS 360.7 +.1%
- Bloomberg TRACE # Distressed Bonds Traded 386.0 +20
- European Financial Sector CDS Index 92.4 -2.2%
- Deutsche Bank Subordinated 5Y Credit Default Swap 340.40 -4.0%
- Italian/German 10Y Yld Spread 182.0 basis basis points -1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 121.7 +.13%
- Emerging Market CDS Index 233.19 +.80%
- China Corp. High-Yield Bond USD ETF(KHYB) 26.97 -.06%
- 2-Year Swap Spread 30.5 basis points +.5 basis point
- TED Spread 18.0 basis points -8.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -16.25 -.75 basis point
- MBS 5/10 Treasury Spread 167.0 +3.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 693.0 unch.
- Avg. Auto ABS OAS 95.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 47.7 unch.
- 3-Month T-Bill Yield 5.12% +7.0 basis points
- China Iron Ore Spot 118.5 USD/Metric Tonne +.6%
- Dutch TTF Nat Gas(European benchmark) 42.7 euros/megawatt-hour +3.9%
- Citi US Economic Surprise Index 36.9 -2.2 points
- Citi Eurozone Economic Surprise Index 38.1 -5.7 points
- Citi Emerging Markets Economic Surprise Index 32.7 +9.2 points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 226.08 +.10: Growth Rate +1.6% unch., P/E 18.4 +.1
- S&P 500 Current Year Estimated Profit Margin 12.26% unch.
- Bloomberg US Financial Conditions Index .29 +10.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index -4.06 +7.0 basis points
- US Yield Curve -63.75 basis points (2s/10s) -2.75 basis points
- US Atlanta Fed 1Q GDPNow Forecast +2.48% +1.0 basis point
- Cleveland Fed Inflation Nowcast Core PCE YoY +4.58% unch.: CPI YoY +5.17% +5.0 basis points
- 10-Year TIPS Spread 2.28 -3.0 basis points
- Highest target rate probability for June 14th FOMC meeting: 71.1%(+4.2 percentage points) chance of 5.0%-5.25%. Highest target rate probability for July 26th meeting: 61.0%(+6.3 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating -13 open in Japan
- China A50 Futures: Indicating -19 open in China
- DAX Futures: Indicating +134 open in Germany
Portfolio:
- Higher: On gains in my tech/industrial sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long