Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 20.92 -2.7%
- Euro/Yen Carry Return Index 136.96 +.15%
- Emerging Markets Currency Volatility(VXY) 8.29 +.73%
- S&P 500 Implied Correlation 49.08 -2.7%
- ISE Sentiment Index 64.0 n/a
- Total Put/Call .91 -9.9%
- NYSE Arms .78 -74.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 64.03 -1.30%
- America Energy Sector High-Yield CDS Index 462.0 +.88%
- European Financial Sector CDS Index 61.32 -2.53%
- Italian/German 10Y Yld Spread 126.75 -2.0 basis points
- Asia Pacific Sovereign Debt CDS Index 12.59 -4.84%
- Emerging Market CDS Index 139.38 +1.21%
- iBoxx Offshore RMB China Corporate High Yield Index 148.84 +.12%
- 2-Year Swap Spread 30.75 +1.5 basis points
- TED Spread 62.75 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -4.5 +3.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 74.60 -.28%
- 3-Month T-Bill Yield 1.71% unch.
- Yield Curve 50.0 +.25 basis point
- China Iron Ore Spot 65.30 USD/Metric Tonne +2.25%
- Citi US Economic Surprise Index 35.90 unch.
- Citi Eurozone Economic Surprise Index -86.70 -7.5 points
- Citi Emerging Markets Economic Surprise Index 22.80 +.4 point
- 10-Year TIPS Spread 2.08 +1.0 basis point
- 80.9% chance of Fed rate hike at June 13 meeting, 82.5% chance at August 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +22 open in Japan
- China A50 Futures: Indicating +6 open in China
- DAX Futures: Indicating +16 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial/medical/biotech/tech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and then added them back
- Market Exposure: 50% Net Long
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