Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Every Sector Declining
- Volume: Heavy
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 24.3 +42.1%
- Euro/Yen Carry Return Index 124.58 -.82%
- Emerging Markets Currency Volatility(VXY) 7.2 +4.2%
- S&P 500 Implied Correlation 46.4 +20.0%
- ISE Sentiment Index 83.0 -5
- Total Put/Call 1.07 -1.83%
- NYSE Arms 1.38 +23.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 52.69 +13.65%
- America Energy Sector High-Yield CDS Index 658.0 +3.80%
- European Financial Sector CDS Index 56.0 +14.2%
- Italian/German 10Y Yld Spread 145.0 +10.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 52.12 +7.8%
- Emerging Market CDS Index 204.24 +5.13%
- iBoxx Offshore RMB China Corporate High Yield Index 170.99 +.11%
- 2-Year Swap Spread 1.25 -.5 basis point
- TED Spread 13.25 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -11.0 -2.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 64.12 -.5%
- 3-Month T-Bill Yield 1.53% -2.0 basis points
- Yield Curve .12 unch.
- China Iron Ore Spot 87.35 USD/Metric Tonne -1.92%
- Citi US Economic Surprise Index 46.60 -4.1 points
- Citi Eurozone Economic Surprise Index -3.10 +2.6 points
- Citi Emerging Markets Economic Surprise Index 21.9 +1.0 point
- 10-Year TIPS Spread 1.59 -3.0 basis points
- 46.2% chance of 25.0 basis point Fed rate cut at April 29th meeting, 45.1% chance of 25.0 basis point cut at June 10th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -121 open in Japan
- China A50 Futures: Indicating -282 open in China
- DAX Futures: Indicating -11 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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