Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 15.41 -2.28%
- Euro/Yen Carry Return Index 121.02 -.27%
- Emerging Markets Currency Volatility(VXY) 9.30 +.11%
- S&P 500 Implied Correlation 46.50 -.06%
- ISE Sentiment Index 113.0 +22.83%
- Total Put/Call .79 -17.71%
- NYSE Arms 1.38 +20.25%
Credit Investor Angst:
- North American Investment Grade CDS Index 67.24 +.24%
- America Energy Sector High-Yield CDS Index 355.0 +.84%
- European Financial Sector CDS Index 93.53 +1.0%
- Western Europe Sovereign Debt CDS Index 13.33 +6.69%
- Asia Pacific Sovereign Debt CDS Index 23.66 +4.81%
- Emerging Market CDS Index 211.49 -1.07%
- iBoxx Offshore RMB China Corporate High Yield Index 136.61 -.06%
- 2-Year Swap Spread 33.25 +1.25 basis points
- TED Spread 35.25 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -32.75 -3.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.14 +.06%
- 3-Month T-Bill Yield .80% -1.0 basis points
- Yield Curve 103.0 -3.0 basis points
- China Import Iron Ore Spot $68.68/Metric Tonne +.94%
- Citi US Economic Surprise Index 38.20 +1.5 points
- Citi Eurozone Economic Surprise Index 38.90 -.2 point
- Citi Emerging Markets Economic Surprise Index 26.7 +7.4 points
- 10-Year TIPS Spread 1.92 unch.
- 56.7% chance of Fed rate hike at June 14 meeting, 59.6% chance at July 26 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -16 open in Japan
- China A50 Futures: Indicating unch. open in China
- DAX Futures: Indicating unch. open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/tech sector longs and index hedges
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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