Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Every Sector Declining
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 48.2 +23.0%
- Euro/Yen Carry Return Index 123.20 -1.5%
- Emerging Markets Currency Volatility(VXY) 8.10 +8.7%
- S&P 500 Implied Correlation 61.4 +25.0%
- ISE Sentiment Index 89.0 +3
- Total Put/Call 1.33 -.75%
- NYSE Arms .73 -.56%
Credit Investor Angst:
- North American Investment Grade CDS Index 68.30 +8.2%
- America Energy Sector High-Yield CDS Index 607.0 n/a
- European Financial Sector CDS Index 75.38 +11.89%
- Italian/German 10Y Yld Spread 174.25 +24.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 71.25 +23.7%
- Emerging Market CDS Index 246.03 +8.30%
- iBoxx Offshore RMB China Corporate High Yield Index 171.21 +.06%
- 2-Year Swap Spread 5.75 +1.25 basis points
- TED Spread 29.25 +16.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -15.25 -5.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 63.30 -.58%
- 3-Month T-Bill Yield 1.27% -24.0 basis points
- Yield Curve .24 +9.0 basis points
- China Iron Ore Spot 82.0 USD/Metric Tonne -3.45%
- Citi US Economic Surprise Index 56.20 +6.9 points
- Citi Eurozone Economic Surprise Index .4 +4.0 points
- Citi Emerging Markets Economic Surprise Index 15.4 -2.0 points
- 10-Year TIPS Spread 1.46 -8.0 basis points
- 51.5% chance of 75.0 basis point Fed rate cut at April 29th meeting, 46.2% chance of 75.0 basis point cut at June 10th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -522 open in Japan
- China A50 Futures: Indicating -143 open in China
- DAX Futures: Indicating -11 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech sector longs, 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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