Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 21.61 -1.68%
- Euro/Yen Carry Return Index 136.39 -.33%
- Emerging Markets Currency Volatility(VXY) 12.57 +1.52%
- S&P 500 Implied Correlation 60.16 -2.58%
- ISE Sentiment Index 123.0 +101.64%
- Total Put/Call .86 -13.13%
- NYSE Arms .88 -60.74%
Credit Investor Angst:
- North American Investment Grade CDS Index 108.42 -.18%
- America Energy Sector High-Yield CDS Index 2,030.0 +2.73%
- European Financial Sector CDS Index 103.66 +5.42%
- Western Europe Sovereign Debt CDS Index 25.06 +9.96%
- Asia Pacific Sovereign Debt CDS Index 81.81 +.06%
- Emerging Market CDS Index 378.76 -2.38%
- iBoxx Offshore RMB China Corporate High Yield Index 122.36 -.07%
- 2-Year Swap Spread 6.25 -.25 basis point
- TED Spread 28.25 +1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -20.25 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 68.32 +1.1%
- 3-Month T-Bill Yield .33% unch.
- Yield Curve 116.0 +4.0 basis points
- China Import Iron Ore Spot $44.63/Metric Tonne +1.80%
- Citi US Economic Surprise Index -54.2 -3.7 points
- Citi Eurozone Economic Surprise Index -18.60 +.8 point
- Citi Emerging Markets Economic Surprise Index -8.40 +.4 point
- 10-Year TIPS Spread 1.38% +2.0 basis points
- 15.5% chance of Fed rate hike at April 27 meeting, 25.7% chance at June 15 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -241 open in Japan
- China A50 Futures: Indicating -81 open in China
- DAX Futures: Indicating +85 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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