Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 17.4 -5.9%
- Euro/Yen Carry Return Index 138.01 +.17%
- Emerging Markets Currency Volatility(VXY) 8.32 -.72%
- S&P 500 Implied Correlation 45.2 -4.9%
- ISE Sentiment Index 82.0 -18.8%
- Total Put/Call .96 -4.0%
- NYSE Arms .95 +11.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.21 -1.79%
- America Energy Sector High-Yield CDS Index 431.0 -.88%
- European Financial Sector CDS Index 57.42 -2.9%
- Italian/German 10Y Yld Spread 128.50 -1.5 basis points
- Asia Pacific Sovereign Debt CDS Index 12.44 -.92%
- Emerging Market CDS Index 139.56 +.18%
- iBoxx Offshore RMB China Corporate High Yield Index 149.21 +.07%
- 2-Year Swap Spread 31.75 +.75 basis point
- TED Spread 59.75 -1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -8.75 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 74.62 +.09%
- 3-Month T-Bill Yield 1.75% +1.0 basis point
- Yield Curve 46.5 -1.5 basis points
- China Iron Ore Spot 65.15 USD/Metric Tonne +.05%
- Citi US Economic Surprise Index 25.20 -3.1 points
- Citi Eurozone Economic Surprise Index -88.90 +.3 point
- Citi Emerging Markets Economic Surprise Index 17.6 -1.5 points
- 10-Year TIPS Spread 2.14 +1.0 basis point
- 88.6% chance of Fed rate hike at June 13 meeting, 89.3% chance at August 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +12 open in Japan
- China A50 Futures: Indicating -16 open in China
- DAX Futures: Indicating +3 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech/retail sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
No comments:
Post a Comment