Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 20.28 -9.68%
- Euro/Yen Carry Return Index 137.10 +.92%
- Emerging Markets Currency Volatility(VXY) 12.06 +1.43%
- S&P 500 Implied Correlation 61.0 -2.99%
- ISE Sentiment Index 126.0 +9.57%
- Total Put/Call .84 -3.45%
- NYSE Arms .83 -44.52%
Credit Investor Angst:
- North American Investment Grade CDS Index 101.06 -2.55%
- America Energy Sector High-Yield CDS Index 1,925.0 +2.09%
- European Financial Sector CDS Index 91.62 -.68%
- Western Europe Sovereign Debt CDS Index 19.68 +3.85%
- Asia Pacific Sovereign Debt CDS Index 76.82 +5.07%
- Emerging Market CDS Index 370.54 +.11%
- iBoxx Offshore RMB China Corporate High Yield Index 122.42 +.22%
- 2-Year Swap Spread 6.75 -.25 basis point
- TED Spread 29.75 -1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -22.5 -1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 68.14 +.44%
- 3-Month T-Bill Yield .31% -1.0 basis points
- Yield Curve 115.0 -2.0 basis points
- China Import Iron Ore Spot $41.72/Metric Tonne -.48%
- Citi US Economic Surprise Index -47.1 +.2 point
- Citi Eurozone Economic Surprise Index -25.10 +1.4 points
- Citi Emerging Markets Economic Surprise Index -3.8 +2.8 points
- 10-Year TIPS Spread 1.42% +1.0 basis point
- 19.4% chance of Fed rate hike at April 27 meeting, 30.6% chance at June 15 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +298 open in Japan
- China A50 Futures: Indicating -50 open in China
- DAX Futures: Indicating +6 open in Germany
Portfolio:
- Slightly Lower: On losses in my index hedges and emerging markets shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my (EEM) short
- Market Exposure: Moved to 50% Net Long
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