Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 17.8 +14.3%
- Euro/Yen Carry Return Index 125.80 +.47%
- Emerging Markets Currency Volatility(VXY) 6.89 +3.14%
- S&P 500 Implied Correlation 40.9 +7.4%
- ISE Sentiment Index 88.0 -17
- Total Put/Call 1.09 +34.6%
- NYSE Arms 1.12 -6.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 46.67 +3.26%
- America Energy Sector High-Yield CDS Index 637.0 +.95%
- European Financial Sector CDS Index 49.04 +1.56%
- Italian/German 10Y Yld Spread 134.25 -.75 basis point
- Asia Ex-Japan Investment Grade CDS Index 48.39 +2.1%
- Emerging Market CDS Index 194.83 +.15%
- iBoxx Offshore RMB China Corporate High Yield Index 170.80 +.06%
- 2-Year Swap Spread 1.75 -.5 basis point
- TED Spread 13.25 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -8.25 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 64.56 +.20%
- 3-Month T-Bill Yield 1.55% -2.0 basis points
- Yield Curve .12 -2.0 basis points
- China Iron Ore Spot 91.51 USD/Metric Tonne +1.84%
- Citi US Economic Surprise Index 50.70 -11.1 points
- Citi Eurozone Economic Surprise Index -5.70 +24.3 points
- Citi Emerging Markets Economic Surprise Index 20.9 +.1 point
- 10-Year TIPS Spread 1.62 -2.0 basis points
- 35.7% chance of Fed rate cut at April 29th meeting, 44.4% chance of cut at June 10th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -196 open in Japan
- China A50 Futures: Indicating -33 open in China
- DAX Futures: Indicating -51 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
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