Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 19.9 -2.6%
- Euro/Yen Carry Return Index 137.68 -.18%
- Emerging Markets Currency Volatility(VXY) 8.47 unch.
- S&P 500 Implied Correlation 48.7 -2.2%
- ISE Sentiment Index 116.0 unch.
- Total Put/Call .94 +10.6%
- NYSE Arms .95 +98.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 62.71 -.95%
- America Energy Sector High-Yield CDS Index 437.0 -3.51%
- European Financial Sector CDS Index 60.40 -.13%
- Italian/German 10Y Yld Spread 130.50 +2.5 basis points
- Asia Pacific Sovereign Debt CDS Index 12.44 +1.93%
- Emerging Market CDS Index 140.37 -.02%
- iBoxx Offshore RMB China Corporate High Yield Index 148.87 +.03%
- 2-Year Swap Spread 29.5 -1.25 basis points
- TED Spread 61.0 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -5.0 -1.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 74.62 +.23%
- 3-Month T-Bill Yield 1.73% +1.0 basis point
- Yield Curve 48.0 -.75 basis point
- China Iron Ore Spot 65.20 USD/Metric Tonne +1.56%
- Citi US Economic Surprise Index 31.30 -1.5 points
- Citi Eurozone Economic Surprise Index -88.20 +.8 point
- Citi Emerging Markets Economic Surprise Index 19.10 -3.0 points
- 10-Year TIPS Spread 2.11 +2.0 basis points
- 84.3% chance of Fed rate hike at June 13 meeting, 85.2% chance at August 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +43 open in Japan
- China A50 Futures: Indicating +27 open in China
- DAX Futures: Indicating -4 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/tech sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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