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) 15.8 +11.9%
- Euro/Yen Carry Return Index 128.57 -1.71%
- Emerging Markets Currency Volatility(VXY) 11.73 +.17%
- S&P 500 Implied Correlation 56.63 +4.0%
- ISE Sentiment Index 106.0 +29.3%
- Total Put/Call .94 -1.63%
- NYSE Arms .94 -1.55%
Credit Investor Angst:
- North American Investment Grade CDS Index 81.34 +4.70%
- America Energy Sector High-Yield CDS Index 1,457.0 +5.4%
- European Financial Sector CDS Index 102.61 +5.21%
- Western Europe Sovereign Debt CDS Index 27.66 +4.85%
- Asia Pacific Sovereign Debt CDS Index 60.39 +2.21%
- Emerging Market CDS Index 310.31 +4.08%
- iBoxx Offshore RMB China Corporate High Yield Index 127.05 +.03%
- 2-Year Swap Spread 12.75 +1.25 basis points
- TED Spread 39.75 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -21.75 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.64 -.49%
- 3-Month T-Bill Yield .23% unch
- Yield Curve 100.0 -2.0 basis points
- China Import Iron Ore Spot $54.57/Metric Tonne unch.
- Citi US Economic Surprise Index -6.60 +1.0 point
- Citi Eurozone Economic Surprise Index -31.0 -.6 point
- Citi Emerging Markets Economic Surprise Index 5.50 +1.2 points
- 10-Year TIPS Spread 1.59% unch.
- 17.3% chance of Fed rate hike at June 15 meeting, 26.8% chance at July 27 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -254 open in Japan
- China A50 Futures: Indicating -74 open in China
- DAX Futures: Indicating +31 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech/medical/tech/retail sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
- Market Exposure: Moved to 25% Net Long
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