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) 16.1 +7.8%
- Euro/Yen Carry Return Index 124.62 -.54%
- Emerging Markets Currency Volatility(VXY) 6.92 +5.3%
- S&P 500 Implied Correlation 39.0 +3.8%
- ISE Sentiment Index 70.0 -27
- Total Put/Call .94 +32.4%
- NYSE Arms 1.43 +29.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 45.86 +1.4%
- America Energy Sector High-Yield CDS Index 624.0 +.68%
- European Financial Sector CDS Index 49.12 +2.12%
- Italian/German 10Y Yld Spread 133.0 -.5 basis point
- Asia Ex-Japan Investment Grade CDS Index 52.98 +.9%
- Emerging Market CDS Index 190.17 +2.42%
- iBoxx Offshore RMB China Corporate High Yield Index 169.82 -.16%
- 2-Year Swap Spread 5.25 -.5 basis point
- TED Spread 18.0 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -5.25 -1.0 point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.36 -.31%
- 3-Month T-Bill Yield 1.56% +1.0 basis point
- Yield Curve .20 -1.0 basis point
- China Iron Ore Spot 78.50 USD/Metric Tonne -2.59%
- Citi US Economic Surprise Index 45.40 +5.6 points
- Citi Eurozone Economic Surprise Index -9.5 -17.1 points
- Citi Emerging Markets Economic Surprise Index 23.5 -1.8 points
- 10-Year TIPS Spread 1.65 -1.0 basis point
- 30.1% chance of Fed April 29th meeting, 46.6% chance of cut at June 10th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -137 open in Japan
- China A50 Futures: Indicating -221 open in China
- DAX Futures: Indicating -51 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech/tech/industrial/medical/retail sector longs
- Disclosed Trades:Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 25% Net Long
No comments:
Post a Comment