Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 18.0 +11.9%
- DJIA Intraday % Swing 1.73%
- Bloomberg Global Risk On/Risk Off Index 52.4 -7.0%
- Euro/Yen Carry Return Index 157.1 -.48%
- Emerging Markets Currency Volatility(VXY) 10.0 +.1%
- CBOE S&P 500 Implied Correlation Index 35.0 +11.3%
- ISE Sentiment Index 86.0 +8.0 points
- Total Put/Call .97 +1.0%
- NYSE Arms 1.45 +51.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 79.6 +3.0%
- US Energy High-Yield OAS 400.6 +6.1%
- Bloomberg TRACE # Distressed Bonds Traded 391.0 -8.0
- European Financial Sector CDS Index 102.8 +4.4%
- Deutsche Bank Subordinated 5Y Credit Default Swap 368.74 +2.5%
- Italian/German 10Y Yld Spread 192.0 basis points +6.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 129.8 +1.9%
- Emerging Market CDS Index 243.3 +3.1%
- China Corp. High-Yield Bond USD ETF(KHYB) 26.6 -.19%
- 2-Year Swap Spread 31.5 basis points +2.5 basis points
- TED Spread 19.0 basis points -8.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -23.5 +4.75 basis points
- MBS 5/10 Treasury Spread 168.0 -1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 699.0 +1.0 basis point
- Avg. Auto ABS OAS 94.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 47.5 -.13%
- 3-Month T-Bill Yield 5.14% +13.0 basis points
- China Iron Ore Spot 101.4 USD/Metric Tonne -.75%
- Dutch TTF Nat Gas(European benchmark) 37.5 euros/megawatt-hour -3.4%
- Citi US Economic Surprise Index 12.5 -6.5 points
- Citi Eurozone Economic Surprise Index 12.5 +2.3 points
- Citi Emerging Markets Economic Surprise Index 34.7 +2.4 points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 227.38 -.18: Growth Rate +2.2% unch., P/E 18.0 -.4
- S&P 500 Current Year Estimated Profit Margin 12.26% -1.0 basis point
- Bloomberg US Financial Conditions Index -.05 -12.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index -4.60 -10.0 basis points
- US Yield Curve -54.25 basis points (2s/10s) +2.5 basis points
- US Atlanta Fed 2Q GDPNow Forecast +1.84% unch.
- Cleveland Fed Inflation Nowcast Core PCE YoY +4.66% unch.: CPI YoY +5.19% unch.
- 10-Year TIPS Spread 2.20 -3.0 basis points
- Highest target rate probability for June 14th FOMC meeting: 81.0%(+14.5 percentage points) chance of 5.0%-5.25%. Highest target rate probability for July 26th meeting: 53.3%(-8.3 percentage points) chance of 5.0%-5.25%.
Overseas Futures:
- Nikkei 225 Futures: Indicating -330 open in Japan
- China A50 Futures: Indicating -107 open in China
- DAX Futures: Indicating +143 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging market shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to Market Neutral