Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 16.3 +3.6%
- Euro/Yen Carry Return Index 130.0 -1.0%
- Emerging Markets Currency Volatility(VXY) 8.27 +1.85%
- S&P 500 Implied Correlation 42.82 +6.45%
- ISE Sentiment Index 103.0 +71.7%
- Total Put/Call 1.08 +2.86%
- NYSE Arms 1.18 -45.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 63.16 +.98%
- America Energy Sector High-Yield CDS Index 516.0 +1.44%
- European Financial Sector CDS Index 75.68 +.72%
- Italian/German 10Y Yld Spread 240.25 -6.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 68.0 +1.62%
- Emerging Market CDS Index 176.19 +1.95%
- iBoxx Offshore RMB China Corporate High Yield Index 159.17 +.08%
- 2-Year Swap Spread 12.25 +1.0 basis point
- TED Spread 16.25 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -9.5 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.28 -.67%
- 3-Month T-Bill Yield 2.45% unch.
- Yield Curve 16.75 -.5 basis point
- China Iron Ore Spot 84.05 USD/Metric Tonne +.66%
- Citi US Economic Surprise Index -33.30 +.7 point
- Citi Eurozone Economic Surprise Index -48.4 +1.4 points
- Citi Emerging Markets Economic Surprise Index -15.20 -.2 point
- 10-Year TIPS Spread 1.91 unch.
- 0.0% chance of Fed rate hike at May 1st meeting, 0.0% chance at June 19th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -321 open in Japan
- China A50 Futures: Indicating -136 open in China
- DAX Futures: Indicating -10 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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