Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 19.0 +22.5%
- Euro/Yen Carry Return Index 124.52 -.11%
- Emerging Markets Currency Volatility(VXY) 6.79 +1.34%
- S&P 500 Implied Correlation 44.0 +7.5%
- ISE Sentiment Index 73.0 -3
- Total Put/Call 1.09 +28.2%
- NYSE Arms 1.62 +74.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 49.93 +4.75%
- America Energy Sector High-Yield CDS Index 627.0 +2.0%
- European Financial Sector CDS Index 54.18 +.64%
- Italian/German 10Y Yld Spread 137.0 +2.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 58.19 +.81%
- Emerging Market CDS Index 197.21 +2.33%
- iBoxx Offshore RMB China Corporate High Yield Index 169.91 +.01%
- 2-Year Swap Spread 6.5 +.75 basis point
- TED Spread 21.75 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -6.25 -1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.18 -.31%
- 3-Month T-Bill Yield 1.55% -1.0 basis point
- Yield Curve .18 +1.0 basis point
- China Iron Ore Spot 80.33 USD/Metric Tonne -2.17%
- Citi US Economic Surprise Index 7.60 -.6 point
- Citi Eurozone Economic Surprise Index 21.10 -22.7 points
- Citi Emerging Markets Economic Surprise Index 20.8 +7.5 points
- 10-Year TIPS Spread 1.63 -1.0 basis point
- 40.7% chance of Fed April 29th meeting, 59.8% chance of cut at June 10th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -495 open in Japan
- China A50 Futures: Indicating -1,101 open in China
- DAX Futures: Indicating -61 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging market shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
No comments:
Post a Comment