Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Every Sector Declining
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 32.3 +16.7%
- Euro/Yen Carry Return Index 139.09 -.44%
- Emerging Markets Currency Volatility(VXY) 9.40 +6.1%
- S&P 500 Implied Correlation 49.58 +9.2%
- ISE Sentiment Index 86.0 -29.5%
- Total Put/Call 1.05 +15.4%
- NYSE Arms .95 -35.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 58.77 +8.81%
- America Energy Sector High-Yield CDS Index 372.0 +4.97%
- European Financial Sector CDS Index 49.86 +8.60%
- Italian/German 10Y Yld Spread 123.25 +2.75 basis points
- Asia Pacific Sovereign Debt CDS Index 12.75 +5.26%
- Emerging Market CDS Index 128.79 +7.0%
- iBoxx Offshore RMB China Corporate High Yield Index 147.36 -.09%
- 2-Year Swap Spread 23.75 +1.25 basis points
- TED Spread 25.25 -1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -32.75 -3.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 74.86 -.54%
- 3-Month T-Bill Yield 1.54% unch.
- Yield Curve 72.0 +.25 basis point
- China Iron Ore Spot 75.72 USD/Metric Tonne +.89%
- Citi US Economic Surprise Index 48.30 +.8 point
- Citi Eurozone Economic Surprise Index 39.70 -2.0 basis points
- Citi Emerging Markets Economic Surprise Index .2 +1.2 basis points
- 10-Year TIPS Spread 2.09 -3.0 basis points
- 100.0% chance of Fed rate hike at May 2 meeting, 100.0% chance at June 13 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -575 open in Japan
- China A50 Futures: Indicating -260 open in China
- DAX Futures: Indicating -63 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging markets shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
- Market Exposure: Moved to 25% Net Long
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