Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.3 -2.35%
- Euro/Yen Carry Return Index 128.63 +.31%
- Emerging Markets Currency Volatility(VXY) 11.1 -2.63%
- S&P 500 Implied Correlation 54.48 -7.2%
- ISE Sentiment Index 90.0 +11.11%
- Total Put/Call 1.02 +29.11%
- NYSE Arms .97 -17.13%
Credit Investor Angst:
- North American Investment Grade CDS Index 77.85 -2.94%
- America Energy Sector High-Yield CDS Index 1,243.0 -1.13%
- European Financial Sector CDS Index 86.68 -3.26%
- Western Europe Sovereign Debt CDS Index 27.41 +1.74%
- Asia Pacific Sovereign Debt CDS Index 57.57 +1.21%
- Emerging Market CDS Index 279.93 -3.76%
- iBoxx Offshore RMB China Corporate High Yield Index 127.55 +.15%
- 2-Year Swap Spread 12.25 unch.
- TED Spread 41.50 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -22.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.73 +.26%
- 3-Month T-Bill Yield .20% -2.0 basis points
- Yield Curve 103.0 +1.09 basis point
- China Import Iron Ore Spot $60.36/Metric Tonne +3.57%
- Citi US Economic Surprise Index -9.30 +2.9 points
- Citi Eurozone Economic Surprise Index -21.60 +3.7 points
- Citi Emerging Markets Economic Surprise Index 18.9 unch.
- 10-Year TIPS Spread 1.58% +2.0 basis points
- 13.7% chance of Fed rate hike at June 15 meeting, 25.6% chance at July 27 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +424 open in Japan
- China A50 Futures: Indicating +67 open in China
- DAX Futures: Indicating +41 open in Germany
Portfolio:
- Higher: On gains in my retail/tech/medical/biotech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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