Broad Equity Market Tone:
- Advance/Decline Line: Slightly Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 20.35 +.74%
- Euro/Yen Carry Return Index 137.89 +.58%
- Emerging Markets Currency Volatility(VXY) 12.12 +.50%
- S&P 500 Implied Correlation 60.98 +2.03%
- ISE Sentiment Index 90.0 -11.76%
- Total Put/Call 1.06 +17.78%
- NYSE Arms 1.13 +61.70%
Credit Investor Angst:
- North American Investment Grade CDS Index 103.59 +1.68%
- America Energy Sector High-Yield CDS Index 1,921.0 +1.08%
- European Financial Sector CDS Index 93.50 +1.91%
- Western Europe Sovereign Debt CDS Index 22.13 +3.82%
- Asia Pacific Sovereign Debt CDS Index 78.49 +2.17%
- Emerging Market CDS Index 369.96 +.27%
- iBoxx Offshore RMB China Corporate High Yield Index 122.36 -.05%
- 2-Year Swap Spread 6.5 -.25 basis point
- TED Spread 30.25 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -21.25 +1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 68.15 unch.
- 3-Month T-Bill Yield .30% -1.0 basis points
- Yield Curve 115.0 unch.
- China Import Iron Ore Spot $43.02/Metric Tonne +3.12%
- Citi US Economic Surprise Index -50.5 -3.4 points
- Citi Eurozone Economic Surprise Index -22.20 +2.9 points
- Citi Emerging Markets Economic Surprise Index -7.3 -3.5 points
- 10-Year TIPS Spread 1.41% -1.0 basis point
- 22.9% chance of Fed rate hike at April 27 meeting, 36.8% chance at June 15 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -60 open in Japan
- China A50 Futures: Indicating -177 open in China
- DAX Futures: Indicating -3 open in Germany
Portfolio:
- Higher: On gains in retail/tech/biotech/medical sector longs and my emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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