Broad Equity Market Tone:
- Advance/Decline Line: About Even
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.9 +.06%
- Euro/Yen Carry Return Index 137.12 -.28%
- Emerging Markets Currency Volatility(VXY) 8.45 +1.3%
- S&P 500 Implied Correlation 42.4 +5.8%
- ISE Sentiment Index 93.0 +12.1%
- Total Put/Call 1.10 +22.2%
- NYSE Arms 1.47 +.88%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.05 +.80%
- America Energy Sector High-Yield CDS Index 401.0 +.4%
- European Financial Sector CDS Index 58.73 +3.0%
- Italian/German 10Y Yld Spread 122.50 unch.
- Asia Pacific Sovereign Debt CDS Index 12.25 +1.74%
- Emerging Market CDS Index 145.06 +1.52%
- iBoxx Offshore RMB China Corporate High Yield Index 149.30 -.06%
- 2-Year Swap Spread 25.25 -.5 basis point
- TED Spread 53.0 -2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -11.75 -1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.86 -.58%
- 3-Month T-Bill Yield 1.83% +3.0 basis points
- Yield Curve 46.5 +1.0 basis point
- China Iron Ore Spot 65.78 USD/Metric Tonne unch.
- Citi US Economic Surprise Index 36.5 -5.3 points
- Citi Eurozone Economic Surprise Index -77.30 +.2 point
- Citi Emerging Markets Economic Surprise Index .4 -2.8 points
- 10-Year TIPS Spread 2.16 -2.0 basis points
- 94.6% chance of Fed rate hike at June 13 meeting, 94.8% chance at August 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +47 open in Japan
- China A50 Futures: Indicating +62 open in China
- DAX Futures: Indicating -1 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech sector longs and emerging markets shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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