Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.6 -5.1%
- Euro/Yen Carry Return Index 130.84 -.29%
- Emerging Markets Currency Volatility(VXY) 11.87 +.51%
- S&P 500 Implied Correlation 55.73 -3.38%
- ISE Sentiment Index 116.0 +52.2%
- Total Put/Call .93 -17.7%
- NYSE Arms .91 -13.09%
Credit Investor Angst:
- North American Investment Grade CDS Index 79.39 -.29%
- America Energy Sector High-Yield CDS Index 1,382.0 -8.2%
- European Financial Sector CDS Index 97.95 +1.89%
- Western Europe Sovereign Debt CDS Index 26.61 +.24%
- Asia Pacific Sovereign Debt CDS Index 59.60 -2.58%
- Emerging Market CDS Index 299.68 -.52%
- iBoxx Offshore RMB China Corporate High Yield Index 127.0 unch.
- 2-Year Swap Spread 11.5 unch.
- TED Spread 40.5 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -21.25 -.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.92 +.16%
- 3-Month T-Bill Yield .23% +2.0 basis points
- Yield Curve 102.0 +2.0 basis points
- China Import Iron Ore Spot $54.75/Metric Tonne unch.
- Citi US Economic Surprise Index -7.60 -.9 point
- Citi Eurozone Economic Surprise Index -31.60 +4.9 points
- Citi Emerging Markets Economic Surprise Index 4.30 +.3 point
- 10-Year TIPS Spread 1.59% -1.0 basis point
- 19.6% chance of Fed rate hike at June 15 meeting, 30.6% chance at July 27 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -25 open in Japan
- China A50 Futures: Indicating -18 open in China
- DAX Futures: Indicating +23 open in Germany
Portfolio:
- Higher: On gains in my biotech/medical/tech/retail sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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