Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Most Sectors Declining
- Volume: Slightly Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 13.94 +4.97%
- Euro/Yen Carry Return Index 129.28 -.30%
- Emerging Markets Currency Volatility(VXY) 10.65 -.56%
- S&P 500 Implied Correlation 55.57 +.23%
- ISE Sentiment Index 70.0 -15.66%
- Total Put/Call 1.06 +21.84%
- NYSE Arms 1.14 +40.75%
Credit Investor Angst:
- North American Investment Grade CDS Index 73.57 +.84%
- America Energy Sector High-Yield CDS Index 1,014.0 -3.82%
- European Financial Sector CDS Index 81.38 -5.92%
- Western Europe Sovereign Debt CDS Index 26.43 -3.24%
- Asia Pacific Sovereign Debt CDS Index 55.60 -1.82%
- Emerging Market CDS Index 281.73 +3.06%
- iBoxx Offshore RMB China Corporate High Yield Index 127.16 -.16%
- 2-Year Swap Spread 13.75 -.25 basis point
- TED Spread 41.0 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -23.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.91 -.65%
- 3-Month T-Bill Yield .23% +1.0 basis point
- Yield Curve 106.0 +2.0 basis points
- China Import Iron Ore Spot $70.46/Metric Tonne +8.78%
- Citi US Economic Surprise Index -22.50 -.7 point
- Citi Eurozone Economic Surprise Index -13.70 +.8 point
- Citi Emerging Markets Economic Surprise Index 15.0 -.3 point
- 10-Year TIPS Spread 1.64% unch.
- 19.6% chance of Fed rate hike at June 15 meeting, 33.8% chance at July 27 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -74 open in Japan
- China A50 Futures: Indicating -48 open in China
- DAX Futures: Indicating +1 open in Germany
Portfolio:
- Higher: On gains in my biotech sector longs, index hedges and emerging markets shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
- Market Exposure: Moved to 25% Net Long
No comments:
Post a Comment