Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 16.51 -7.5%
- Euro/Yen Carry Return Index 137.79 -.57%
- Emerging Markets Currency Volatility(VXY) 8.56 -.7%
- S&P 500 Implied Correlation 40.7 +5.8%
- ISE Sentiment Index 109.0 +19.8%
- Total Put/Call .83 -13.5%
- NYSE Arms 1.07 +34.24%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.62 -1.83%
- America Energy Sector High-Yield CDS Index 409.0 -1.17%
- European Financial Sector CDS Index 55.99 -2.51%
- Italian/German 10Y Yld Spread 115.5 +1.25 basis points
- Asia Pacific Sovereign Debt CDS Index 12.37 -2.79%
- Emerging Market CDS Index 142.45 -.81%
- iBoxx Offshore RMB China Corporate High Yield Index 149.27 +.02%
- 2-Year Swap Spread 26.0 -1.25 basis points
- TED Spread 53.25 +2.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -10.25 -2.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.43 +.01%
- 3-Month T-Bill Yield 1.81% -4.0 basis points
- Yield Curve 50.0 -4.0 basis points
- China Iron Ore Spot 67.20 USD/Metric Tonne +1.01%
- Citi US Economic Surprise Index 39.30 -2.4 points
- Citi Eurozone Economic Surprise Index -84.40 +.2 point
- Citi Emerging Markets Economic Surprise Index 9.1 +.4 point
- 10-Year TIPS Spread 2.18 unch.
- 92.0% chance of Fed rate hike at June 13 meeting, 92.5% chance at August 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +111 open in Japan
- China A50 Futures: Indicating +116 open in China
- DAX Futures: Indicating +63 open in Germany
Portfolio:
- Higher: On gains in my tech/industrial/retail/medical/biotech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
- Market Exposure: Moved to 75% Net Long
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