Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 16.0 +1.5%
- Euro/Yen Carry Return Index 137.64 +.66%
- Emerging Markets Currency Volatility(VXY) 7.67 -.78%
- S&P 500 Implied Correlation 40.25 -.94%
- ISE Sentiment Index 80.0 -13.04%
- Total Put/Call .87 +2.35%
- NYSE Arms 1.35 +54.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 54.12 +.4%
- America Energy Sector High-Yield CDS Index 396.0 -.15%
- European Financial Sector CDS Index 49.59 +.75%
- Italian/German 10Y Yld Spread 137.50 +.5 basis point
- Asia Pacific Sovereign Debt CDS Index 10.94 -.5%
- Emerging Market CDS Index 115.18 +1.41%
- iBoxx Offshore RMB China Corporate High Yield Index 148.21 +.02%
- 2-Year Swap Spread 32.50 +1.0 basis point
- TED Spread 39.50 -2.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -29.5 -2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 75.43 +.04%
- 3-Month T-Bill Yield 1.71% +4.0 basis points
- Yield Curve 58.5 -2.0 basis points
- China Iron Ore Spot 68.89 USD/Metric Tonne +.69%
- Citi US Economic Surprise Index 43.80 -1.8 points
- Citi Eurozone Economic Surprise Index -27.40 -1.6 points
- Citi Emerging Markets Economic Surprise Index 32.30 -1.6 points
- 10-Year TIPS Spread 2.09 -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 -323 open in Japan
- China A50 Futures: Indicating -87 open in China
- DAX Futures: Indicating -69 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech/tech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 50% Net Long
No comments:
Post a Comment