Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 15.5 unch.
- Euro/Yen Carry Return Index 124.19 -.37%
- Emerging Markets Currency Volatility(VXY) 6.98 +.72%
- S&P 500 Implied Correlation 37.3 +.7%
- ISE Sentiment Index 97.0 +27
- Total Put/Call .82 -14.6%
- NYSE Arms 1.57 +6.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 45.80 -.35%
- America Energy Sector High-Yield CDS Index 629.0 +.67%
- European Financial Sector CDS Index 49.59 +.96%
- Italian/German 10Y Yld Spread 136.25 +3.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 52.07 -1.8%
- Emerging Market CDS Index 194.04 +2.23%
- iBoxx Offshore RMB China Corporate High Yield Index 169.82 +.01%
- 2-Year Swap Spread 3.75 -1.5 basis points
- TED Spread 19.5 +1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -7.25 -2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 64.91 -.14%
- 3-Month T-Bill Yield 1.56% unch.
- Yield Curve .18 -2.0 basis points
- China Iron Ore Spot 79.55 USD/Metric Tonne +1.89%
- Citi US Economic Surprise Index 46.20 +.8 point
- Citi Eurozone Economic Surprise Index -16.5 -7.0 points
- Citi Emerging Markets Economic Surprise Index 24.9 +1.4 points
- 10-Year TIPS Spread 1.65 -1.0 basis point
- 31.9% chance of Fed April 29th meeting, 50.8% chance of cut at June 10th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -30 open in Japan
- China A50 Futures: Indicating -75 open in China
- DAX Futures: Indicating -13 open in Germany
Portfolio:
- Slightly Lower: On losses in my index hedges and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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