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) 28.9 +15.7%
- Euro/Yen Carry Return Index 124.28 -.32%
- Emerging Markets Currency Volatility(VXY) 7.2 -.14%
- S&P 500 Implied Correlation 52.19 +6.62%
- ISE Sentiment Index 79.0 -4
- Total Put/Call 1.12 +4.7%
- NYSE Arms .92 -44.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 56.69 +8.53%
- America Energy Sector High-Yield CDS Index 704.0 +7.34%
- European Financial Sector CDS Index 58.58 +4.58%
- Italian/German 10Y Yld Spread 150.0 +5.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 52.95 +.99%
- Emerging Market CDS Index 212.14 +3.65%
- iBoxx Offshore RMB China Corporate High Yield Index 171.0 +.01%
- 2-Year Swap Spread 1.5 +.25 basis point
- TED Spread 13.25 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -8.75 +2.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 64.05 -.12%
- 3-Month T-Bill Yield 1.51% -2.0 basis points
- Yield Curve .12 unch.
- China Iron Ore Spot 88.29 USD/Metric Tonne +1.02%
- Citi US Economic Surprise Index 44.80 -1.8 points
- Citi Eurozone Economic Surprise Index -2.30 -.8 point
- Citi Emerging Markets Economic Surprise Index 16.2 -5.7 points
- 10-Year TIPS Spread 1.53 -6.0 basis points
- 47.3% chance of 25.0 basis point Fed rate cut at April 29th meeting, 44.8% chance of 25.0 basis point cut at June 10th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -670 open in Japan
- China A50 Futures: Indicating -282 open in China
- DAX Futures: Indicating -175 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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