Broad Equity Market Tone:
- Advance/Decline Line: About Even
- Sector Performance: Mixed
- Volume: Light
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 15.1 +2.37%
- Euro/Yen Carry Return Index 132.66 -.54%
- Emerging Markets Currency Volatility(VXY) 11.79 +.26%
- S&P 500 Implied Correlation 55.16 -1.25%
- ISE Sentiment Index 91.0 unch.
- Total Put/Call .82 -21.15%
- NYSE Arms 1.20 +43.40%
Credit Investor Angst:
- North American Investment Grade CDS Index 82.63 -1.04%
- America Energy Sector High-Yield CDS Index 1,431.0 -4.65%
- European Financial Sector CDS Index 95.90 +.79%
- Western Europe Sovereign Debt CDS Index 27.06 -.79%
- Asia Pacific Sovereign Debt CDS Index 58.70 +.67%
- Emerging Market CDS Index 292.70 -1.62%
- iBoxx Offshore RMB China Corporate High Yield Index 126.51 +.06%
- 2-Year Swap Spread 9.25 -1.75 basis points
- TED Spread 34.75 +1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -21.50 +.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.44 +.31%
- 3-Month T-Bill Yield .27% -1.0 basis point
- Yield Curve 100.0 -3.0 basis points
- China Import Iron Ore Spot $55.75/Metric Tonne -1.08%
- Citi US Economic Surprise Index -4.90 +5.8 points
- Citi Eurozone Economic Surprise Index -32.90 unch.
- Citi Emerging Markets Economic Surprise Index -11.50 +4.9 points
- 10-Year TIPS Spread 1.56% -2.0 basis points
- 38.0% chance of Fed rate hike at June 15 meeting, 49.1% chance at July 27 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -154 open in Japan
- China A50 Futures: Indicating +34 open in China
- DAX Futures: Indicating n/a open in Germany
Portfolio:
- Slightly Higher: On gains in my medical/retail sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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