Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Slightly Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 27.06 +4.08%
- Euro/Yen Carry Return Index 135.54 unch.
- Emerging Markets Currency Volatility(VXY) 12.98 +.93%
- S&P 500 Implied Correlation 63.25 -.28%
- ISE Sentiment Index 52.0 +4.0%
- Total Put/Call .97 -16.38%
- NYSE Arms .76 -26.50%
Credit Investor Angst:
- North American Investment Grade CDS Index 120.97 +.72%
- America Energy Sector High-Yield CDS Index 2,245.0 +9.17%
- European Financial Sector CDS Index 133.57 -2.38%
- Western Europe Sovereign Debt CDS Index 30.95 +8.86%
- Asia Pacific Sovereign Debt CDS Index 85.69 +2.02%
- Emerging Market CDS Index 394.93 +1.42%
- iBoxx Offshore RMB China Corporate High Yield Index 122.93 +.02%
- 2-Year Swap Spread 7.0 unch.
- TED Spread 31.50 -4.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -25.75 -2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 68.29 -.08%
- 3-Month T-Bill Yield .29% +2.0 basis points
- Yield Curve 104.0 -4.0 basis points
- China Import Iron Ore Spot $45.73/Metric Tonne n/a
- Citi US Economic Surprise Index -52.6 +.9 point
- Citi Eurozone Economic Surprise Index -27.0 -6.3 points
- Citi Emerging Markets Economic Surprise Index -5.30 unch.
- 10-Year TIPS Spread 1.2% -5.0 basis points
- 2.0% chance of Fed rate hike at April 27 meeting, 11.8% chance at June 15 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +75 open in Japan
- China A50 Futures: Indicating n/a open in China
- DAX Futures: Indicating -64 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
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