Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 19.19 -4.2%
- Euro/Yen Carry Return Index 137.10 -.57%
- Emerging Markets Currency Volatility(VXY) 8.55 +.94%
- S&P 500 Implied Correlation 41.15 -6.01%
- ISE Sentiment Index 74.0 -37.82%
- Total Put/Call 1.10 +5.77%
- NYSE Arms .81 -62.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 56.64 +1.67%
- America Energy Sector High-Yield CDS Index 407.0 +9.04%
- European Financial Sector CDS Index 55.67 +5.37%
- Italian/German 10Y Yld Spread 136.75 +4.0 basis points
- Asia Pacific Sovereign Debt CDS Index 12.72 -.31%
- Emerging Market CDS Index 124.18 -.68%
- iBoxx Offshore RMB China Corporate High Yield Index 147.64 +.18%
- 2-Year Swap Spread 25.5 -1.25 basis points
- TED Spread 26.0 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -30.75 +3.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 75.59 +.24%
- 3-Month T-Bill Yield 1.64% unch.
- Yield Curve 66.75 -.75 basis point
- China Iron Ore Spot 76.66 USD/Metric Tonne +.22%
- Citi US Economic Surprise Index 51.90 +1.9 points
- Citi Eurozone Economic Surprise Index -5.0 -4.8 points
- Citi Emerging Markets Economic Surprise Index 5.50 +.2 point
- 10-Year TIPS Spread 2.12 -1.0 basis point
- 100.0% chance of Fed rate hike at May 2 meeting, 100.0% chance at June 13 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -6 open in Japan
- China A50 Futures: Indicating +56 open in China
- DAX Futures: Indicating -15 open in Germany
Portfolio:
- Slightly Lower: On losses in my index hedges and emerging markets shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my (EEM) short
- Market Exposure: Moved to 50% Net Long
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