Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Slightly Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 18.65 +1.69%
- Euro/Yen Carry Return Index 132.31 +1.56%
- Emerging Markets Currency Volatility(VXY) 11.84 +1.37%
- S&P 500 Implied Correlation 61.31 +2.01%
- ISE Sentiment Index 71.0 -24.5%
- Total Put/Call 1.05 +12.90%
- NYSE Arms .72 -38.31%
Credit Investor Angst:
- North American Investment Grade CDS Index 91.40 -5.0%
- America Energy Sector High-Yield CDS Index 1,927.0 +37.34%
- European Financial Sector CDS Index 89.59 -8.94%
- Western Europe Sovereign Debt CDS Index 29.53 -2.64%
- Asia Pacific Sovereign Debt CDS Index 68.29 -.81%
- Emerging Market CDS Index 331.90 -1.60%
- iBoxx Offshore RMB China Corporate High Yield Index 124.84 +.09%
- 2-Year Swap Spread 5.0 unch.
- TED Spread 33.5 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -21.0 +6.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.51 +.22%
- 3-Month T-Bill Yield .31% +1.0 basis point
- Yield Curve 100.0 +1.0 basis point
- China Import Iron Ore Spot $57.92/Metric Tonne -.17%
- Citi US Economic Surprise Index -9.80 +3.0 points
- Citi Eurozone Economic Surprise Index -55.0 +.2 point
- Citi Emerging Markets Economic Surprise Index -19.50 -2.2 points
- 10-Year TIPS Spread 1.50% -1.0 basis point
- 19.4% chance of Fed rate hike at April 27 meeting, 45.2% chance at June 15 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -232 open in Japan
- China A50 Futures: Indicating -205 open in China
- DAX Futures: Indicating +12 open in Germany
Portfolio:
- Slightly Higher: On gains in my medical/retail sector longs and emerging market shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges, then covered some of them
- Market Exposure: 50% Net Long
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