Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 24.9 +24.7%
- Euro/Yen Carry Return Index 135.62 -.57%
- Emerging Markets Currency Volatility(VXY) 8.28 +3.9%
- S&P 500 Implied Correlation 54.23 +11.4%
- ISE Sentiment Index 121.0 n/a
- Total Put/Call 1.25 +33.0%
- NYSE Arms 2.53 +196.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 68.06 +3.86%
- America Energy Sector High-Yield CDS Index 454.0 +1.59%
- European Financial Sector CDS Index 65.76 +.18%
- Italian/German 10Y Yld Spread 129.0 unch.
- Asia Pacific Sovereign Debt CDS Index 13.49 +1.66%
- Emerging Market CDS Index 143.1.0 +4.1%
- iBoxx Offshore RMB China Corporate High Yield Index 148542 -.07%
- 2-Year Swap Spread 31.25 +.5 basis point
- TED Spread 59.25 -1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -5.5 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 75.13 -.28%
- 3-Month T-Bill Yield 1.72% +2.0 basis points
- Yield Curve 49.0 +1.75 basis points
- China Iron Ore Spot 65.60 USD/Metric Tonne +.51%
- Citi US Economic Surprise Index 46.1 -3.7 points
- Citi Eurozone Economic Surprise Index -57.10 -1.3 points
- Citi Emerging Markets Economic Surprise Index 25.0 -6.8 points
- 10-Year TIPS Spread 2.05 -1.0 basis point
- 79.0% chance of Fed rate hike at June 13 meeting, 80.3% chance at August 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -323 open in Japan
- China A50 Futures: Indicating -166 open in China
- DAX Futures: Indicating n/a open in Germany
Portfolio:
- Lower: On losses in my biotech/retail/industrial/medical/tech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging markets shorts
- Market Exposure: Moved to 25% Net Long
No comments:
Post a Comment