Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 28.77 +9.70%
- Euro/Yen Carry Return Index 132.96 -.57%
- Emerging Markets Currency Volatility(VXY) 13.19 +2.41%
- S&P 500 Implied Correlation 65.11 +1.35%
- ISE Sentiment Index 87.0 +6.10%
- Total Put/Call .92 -14.02%
- NYSE Arms .90 -30.98%
Credit Investor Angst:
- North American Investment Grade CDS Index 125.34 +3.1%
- America Energy Sector High-Yield CDS Index 2,281.0 +.89%
- European Financial Sector CDS Index 139.13 +8.91%
- Western Europe Sovereign Debt CDS Index 35.53 +17.5%
- Asia Pacific Sovereign Debt CDS Index 86.37 +3.77%
- Emerging Market CDS Index 414.98 +3.21%
- iBoxx Offshore RMB China Corporate High Yield Index 122.64 -.25%
- 2-Year Swap Spread 6.0 +1.25 basis points
- TED Spread 31.50 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -24.50 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 68.54 -.4%
- 3-Month T-Bill Yield .28% -3.0 basis points
- Yield Curve 99.0 -1.0 basis point
- China Import Iron Ore Spot $45.25/Metric Tonne -1.05%
- Citi US Economic Surprise Index -48.9 +2.7 points
- Citi Eurozone Economic Surprise Index -31.80 -.5 point
- Citi Emerging Markets Economic Surprise Index -4.10 +1.5 points
- 10-Year TIPS Spread 1.20% -1.0 basis point
- 0.0% chance of Fed rate hike at April 27 meeting, 0.0% chance at June 15 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -478 open in Japan
- China A50 Futures: Indicating n/a open in China
- DAX Futures: Indicating +51 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging markets shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
No comments:
Post a Comment