Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 20.8 -4.0%
- Euro/Yen Carry Return Index 137.93 +.73%
- Emerging Markets Currency Volatility(VXY) 8.55 +2.03%
- S&P 500 Implied Correlation 50.31 +3.95%
- ISE Sentiment Index 144.0 -1.0%
- Total Put/Call .82 -16.3%
- NYSE Arms .47 -48.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 62.91 -3.39%
- America Energy Sector High-Yield CDS Index 458.0 -.81%
- European Financial Sector CDS Index 60.47 -1.38%
- Italian/German 10Y Yld Spread 128.0 +1.25 basis points
- Asia Pacific Sovereign Debt CDS Index 12.19 -3.18%
- Emerging Market CDS Index 140.30 -.18%
- iBoxx Offshore RMB China Corporate High Yield Index 148.82 -.01%
- 2-Year Swap Spread 29.5 -1.25 basis points
- TED Spread 60.5 -2.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -3.5 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 74.43 -.13%
- 3-Month T-Bill Yield 1.72% +1.0 basis point
- Yield Curve 48.75 -1.25 basis points
- China Iron Ore Spot 65.85 USD/Metric Tonne +1.15%
- Citi US Economic Surprise Index 32.80 -3.1 points
- Citi Eurozone Economic Surprise Index -89.0 -2.3 points
- Citi Emerging Markets Economic Surprise Index 22.10 -.7 point
- 10-Year TIPS Spread 2.09 +1.0 basis point
- 84.3% chance of Fed rate hike at June 13 meeting, 85.6% chance at August 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +131 open in Japan
- China A50 Futures: Indicating +45 open in China
- DAX Futures: Indicating -5 open in Germany
Portfolio:
- Higher: On gains in my industrial/medical/biotech/tech/retail sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and and some of my emerging market shorts
- Market Exposure: Moved to 100% Net Long
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