Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Every Sector Declining
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 16.12 +19.7%
- Euro/Yen Carry Return Index 143.16 +.43%
- Emerging Markets Currency Volatility(VXY) 8.56 +3.13%
- S&P 500 Implied Correlation 37.69 +13.3%
- ISE Sentiment Index 77.0 -22.22%
- Total Put/Call .78 -13.3%
- NYSE Arms 1.02 +39.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 49.67 +3.82%
- America Energy Sector High-Yield CDS Index 357.0 +15.1%
- European Financial Sector CDS Index 44.09 +4.38%
- Italian/German 10Y Yld Spread 128.75 +3.75 basis points
- Asia Pacific Sovereign Debt CDS Index 11.77 +3.2%
- Emerging Market CDS Index 118.50 +3.69%
- iBoxx Offshore RMB China Corporate High Yield Index 147.19 +.31%
- 2-Year Swap Spread 22.0 +2.75 basis points
- TED Spread 30.75 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -30.0 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 75.99 -.7%
- 3-Month T-Bill Yield 1.48% -1.0 basis point
- Yield Curve 69.50 +7.5 basis points
- China Iron Ore Spot 74.03 USD/Metric Tonne +1.59%
- Citi US Economic Surprise Index 44.50 +3.7 points
- Citi Eurozone Economic Surprise Index 34.10 -.7 basis point
- Citi Emerging Markets Economic Surprise Index 1.0 +1.0 basis points
- 10-Year TIPS Spread 2.14 +2.0 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 -164 open in Japan
- China A50 Futures: Indicating -132 open in China
- DAX Futures: Indicating -19 open in Germany
Portfolio:
- Lower: On losses in my medical/retail/tech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 50% Net Long
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