Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 16.4 -2.6%
- DJIA Intraday % Swing .42%
- Bloomberg Global Risk On/Risk Off Index 58.7 +1.0%
- Euro/Yen Carry Return Index 154.3 +.4%
- Emerging Markets Currency Volatility(VXY) 10.1 +.7%
- CBOE S&P 500 Implied Correlation Index 31.3 +.2%
- ISE Sentiment Index 198.0 -10.0 points
- Total Put/Call .94 +4.4%
- NYSE Arms 1.08 +13.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 73.95 +.42%
- US Energy High-Yield OAS 364.26 +.77%
- Bloomberg TRACE # Distressed Bonds Traded 393.0 +7
- European Financial Sector CDS Index 92.7 +.19%
- Deutsche Bank Subordinated 5Y Credit Default Swap 347.96 +2.2%
- Italian/German 10Y Yld Spread 185.0 basis basis points +3.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 124.0 +2.1%
- Emerging Market CDS Index 237.5 +1.9%
- China Corp. High-Yield Bond USD ETF(KHYB) 26.95 -.01%
- 2-Year Swap Spread 29.25 basis points -1.25 basis points
- TED Spread 11.75 basis points -6.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -15.5 +.75 basis point
- MBS 5/10 Treasury Spread 169.0 +2.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 694.0 +1.0 basis point
- Avg. Auto ABS OAS 95.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 47.6 -.31%
- 3-Month T-Bill Yield 5.12% unch.
- China Iron Ore Spot 116.9 USD/Metric Tonne -.4%
- Dutch TTF Nat Gas(European benchmark) 40.3 euros/megawatt-hour -5.7%
- Citi US Economic Surprise Index 35.9 -1.0 point
- Citi Eurozone Economic Surprise Index 37.5 -.6 point
- Citi Emerging Markets Economic Surprise Index 32.7 unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 226.08 unch.: Growth Rate +1.6% unch., P/E 18.4 unch.
- S&P 500 Current Year Estimated Profit Margin 12.26% unch.
- Bloomberg US Financial Conditions Index .29 +9.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index -4.04 +2.0 basis points
- US Yield Curve -65.75 basis points (2s/10s) -2.0 basis points
- US Atlanta Fed 1Q GDPNow Forecast +2.48% unch.
- Cleveland Fed Inflation Nowcast Core PCE YoY +4.58% unch.: CPI YoY +5.17% unch.
- 10-Year TIPS Spread 2.29 +1.0 basis point
- Highest target rate probability for June 14th FOMC meeting: 64.6%(+.8 percentage point) chance of 5.0%-5.25%. Highest target rate probability for July 26th meeting: 58.1%(+3.4 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating -1 open in Japan
- China A50 Futures: Indicating +7 open in China
- DAX Futures: Indicating +145 open in Germany
Portfolio:
- Higher: On gains in my medical/utility sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long