Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 20.9 -1.0%
- Euro/Yen Carry Return Index 136.49 -.2%
- Emerging Markets Currency Volatility(VXY) 8.28 unch.
- S&P 500 Implied Correlation 48.9 +2.1%
- ISE Sentiment Index 95.0 unch.
- Total Put/Call 1.09 +4.8%
- NYSE Arms .90 +45.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 65.15 -2.55%
- America Energy Sector High-Yield CDS Index 474.0 +1.77%
- European Financial Sector CDS Index 65.61 -.08%
- Italian/German 10Y Yld Spread 124.25 -5.0 basis points
- Asia Pacific Sovereign Debt CDS Index 13.4 +1.28%
- Emerging Market CDS Index 135.48 -.62%
- iBoxx Offshore RMB China Corporate High Yield Index 148.60 +.03%
- 2-Year Swap Spread 31.0 -.5 basis point
- TED Spread 57.75 +2.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -14.5 -6.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 75.11 -.09%
- 3-Month T-Bill Yield 1.70% -4.0 basis points
- Yield Curve 50.5 +.25 basis point
- China Iron Ore Spot 62.24 USD/Metric Tonne unch.
- Citi US Economic Surprise Index 46.8 +.8 point
- Citi Eurozone Economic Surprise Index -65.0 -4.7 points
- Citi Emerging Markets Economic Surprise Index 26.90 -1.2 points
- 10-Year TIPS Spread 2.09 +1.0 basis point
- 79.4% chance of Fed rate hike at June 13 meeting, 80.3% chance at August 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +187 open in Japan
- China A50 Futures: Indicating +115 open in China
- DAX Futures: Indicating +84 open in Germany
Portfolio:
- Higher: On gains in my retail/industrial/biotech/medical/tech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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