Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 14.5 +2.54%
- Euro/Yen Carry Return Index 131.55 -.13%
- Emerging Markets Currency Volatility(VXY) 11.42 unch.
- S&P 500 Implied Correlation 57.04 +.25%
- ISE Sentiment Index 49.0 -12.5%
- Total Put/Call .99 -8.33%
- NYSE Arms 2.12 +65.42%
Credit Investor Angst:
- North American Investment Grade CDS Index 81.46 +.8%
- America Energy Sector High-Yield CDS Index 1,351.0 -1.17%
- European Financial Sector CDS Index 90.80 +2.65%
- Western Europe Sovereign Debt CDS Index 27.39 +4.66%
- Asia Pacific Sovereign Debt CDS Index 57.5 -.16%
- Emerging Market CDS Index 288.05 +3.43%
- iBoxx Offshore RMB China Corporate High Yield Index 126.25 +.28%
- 2-Year Swap Spread 9.75 +.75 basis point
- TED Spread 32.50 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -20.25 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.41 -.6%
- 3-Month T-Bill Yield .30% unch.
- Yield Curve 103.0 -2.0 basis points
- China Import Iron Ore Spot $57.87/Metric Tonne -.84%
- Citi US Economic Surprise Index -3.70 +.4 point
- Citi Eurozone Economic Surprise Index -32.60 +.2 point
- Citi Emerging Markets Economic Surprise Index -16.80 +1.7 points
- 10-Year TIPS Spread 1.60% -4.0 basis points
- 41.1% chance of Fed rate hike at June 15 meeting, 50.5% chance at July 27 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -100 open in Japan
- China A50 Futures: Indicating -38 open in China
- DAX Futures: Indicating +18 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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