Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 21.34 +12.67%
- Euro/Yen Carry Return Index 136.76 -.09%
- Emerging Markets Currency Volatility(VXY) 8.23 +.73%
- S&P 500 Implied Correlation 49.50 +8.79%
- ISE Sentiment Index 64.0 +3.0%
- Total Put/Call .94 +11.9%
- NYSE Arms 1.99 +176.14%
Credit Investor Angst:
- North American Investment Grade CDS Index 64.81 +1.34%
- America Energy Sector High-Yield CDS Index 454.0 -1.84%
- European Financial Sector CDS Index 62.92 +1.12%
- Italian/German 10Y Yld Spread 128.75 +1.75 basis points
- Asia Pacific Sovereign Debt CDS Index 13.13 +1.20%
- Emerging Market CDS Index 137.13 +3.17%
- iBoxx Offshore RMB China Corporate High Yield Index 148.66 +.02%
- 2-Year Swap Spread 32.25 +.5 basis point
- TED Spread 61.75 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -7.5 +3.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 74.77 -.25%
- 3-Month T-Bill Yield 1.71% unch.
- Yield Curve 50.75 -1.75 basis points
- China Iron Ore Spot 63.09 USD/Metric Tonne unch.
- Citi US Economic Surprise Index 35.90 -8.1 points
- Citi Eurozone Economic Surprise Index -79.20 -6.7 points
- Citi Emerging Markets Economic Surprise Index 22.40 -1.4 points
- 10-Year TIPS Spread 2.07 -2.0 basis points
- 78.0% chance of Fed rate hike at June 13 meeting, 79.8% chance at August 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -152 open in Japan
- China A50 Futures: Indicating -58 open in China
- DAX Futures: Indicating -58 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail/industrial/medical/biotech/tech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging markets shorts
- Market Exposure: Moved to 25% Net Long
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