Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 16.7 +4.9%
- Euro/Yen Carry Return Index 137.69 -.23%
- Emerging Markets Currency Volatility(VXY) 8.18 +1.61%
- S&P 500 Implied Correlation 38.42 +.29%
- ISE Sentiment Index 89.0 -4.3%
- Total Put/Call 1.01 +4.1%
- NYSE Arms .72 +4.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.26 +.56%
- America Energy Sector High-Yield CDS Index 413.0 +1.18%
- European Financial Sector CDS Index 57.03 -.03%
- Italian/German 10Y Yld Spread 118.75 +.75 basis point
- Asia Pacific Sovereign Debt CDS Index 11.94 +.67%
- Emerging Market CDS Index 140.20 +2.1%
- iBoxx Offshore RMB China Corporate High Yield Index 149.14 -.1%
- 2-Year Swap Spread 28.50 unch.
- TED Spread 55.5 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -7.75 -4.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 74.40 -.48%
- 3-Month T-Bill Yield 1.80% -1.0 basis point
- Yield Curve 49.75 +5.75 basis points
- China Iron Ore Spot 67.39 USD/Metric Tonne +.61%
- Citi US Economic Surprise Index 29.20 -.2 point
- Citi Eurozone Economic Surprise Index -90.90 +.6 point
- Citi Emerging Markets Economic Surprise Index 6.1 -.1 point
- 10-Year TIPS Spread 2.18 +2.0 basis points
- 90.2% chance of Fed rate hike at June 13 meeting, 90.8% chance at August 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -38 open in Japan
- China A50 Futures: Indicating -58 open in China
- DAX Futures: Indicating +12 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/retail/biotech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and then covered some of them
- Market Exposure: 75% Net Long
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