Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 15.7 -.3%
- DJIA Intraday % Swing .41%
- Bloomberg Global Risk On/Risk Off Index 56.7 +2.0%
- Euro/Yen Carry Return Index 157.7 +.4%
- Emerging Markets Currency Volatility(VXY) 9.9 +.9%
- CBOE S&P 500 Implied Correlation Index 30.9 -3.9%
- ISE Sentiment Index 75.0 -17.0 points
- Total Put/Call .94 -4.1%
- NYSE Arms 1.10 +14.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 76.6 +1.0%
- US Energy High-Yield OAS 379.51 -1.4%
- Bloomberg TRACE # Distressed Bonds Traded 399.0 -1.0
- European Financial Sector CDS Index 98.6 +.6%
- Deutsche Bank Subordinated 5Y Credit Default Swap 360.10 +.8%
- Italian/German 10Y Yld Spread 186.0 basis points unch.
- Asia Ex-Japan Investment Grade CDS Index 127.4 -1.4%
- Emerging Market CDS Index 234.8 -1.2%
- China Corp. High-Yield Bond USD ETF(KHYB) 26.7 -.06%
- 2-Year Swap Spread 29.0 basis points -.25 basis point
- TED Spread 27.25 basis points +4.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -18.75 unch.
- MBS 5/10 Treasury Spread 169.0 -1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 698.0 +2.0 basis points
- Avg. Auto ABS OAS 94.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 47.6 -.08%
- 3-Month T-Bill Yield 5.01% -6.0 basis points
- China Iron Ore Spot 101.9 USD/Metric Tonne -.11%
- Dutch TTF Nat Gas(European benchmark) 38.8 euros/megawatt-hour +.77%
- Citi US Economic Surprise Index 19.0 -3.0 points
- Citi Eurozone Economic Surprise Index 10.2 -5.0 points
- Citi Emerging Markets Economic Surprise Index 32.3 -3.3 points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 227.56 +.83: Growth Rate +2.2% +.3 percentage point, P/E 18.4 +.1
- S&P 500 Current Year Estimated Profit Margin 12.27% -2.0 basis points
- Bloomberg US Financial Conditions Index .10 +8.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index -4.50 -1.0 basis point
- US Yield Curve -56.75 basis points (2s/10s) +3.25 basis points
- US Atlanta Fed 2Q GDPNow Forecast +1.84% +18.0 basis points
- Cleveland Fed Inflation Nowcast Core PCE YoY +4.66% unch.: CPI YoY +5.19% unch.
- 10-Year TIPS Spread 2.23 +1.0 basis point
- Highest target rate probability for June 14th FOMC meeting: 67.1%(+2.5 percentage points) chance of 5.0%-5.25%. Highest target rate probability for July 26th meeting: 61.2%(+5.7 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +162 open in Japan
- China A50 Futures: Indicating +14 open in China
- DAX Futures: Indicating +91 open in Germany
Portfolio:
- Higher: On gains in my tech/utility/industrial sector longs and emerging market shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long