Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 66.6 +.91%
- Euro/Yen Carry Return Index 124.09 +.82%
- Emerging Markets Currency Volatility(VXY) 14.8 +2.1%
- S&P 500 Implied Correlation 70.5 +19.0%
- ISE Sentiment Index 74.0 +4
- Total Put/Call 1.13 -8.9%
- NYSE Arms .80 -42.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 126.28 -14.8%
- America Energy Sector High-Yield CDS Index 1,544.0 +1.87%
- European Financial Sector CDS Index 130.13 -2.95%
- Italian/German 10Y Yld Spread 195.5 +.25 basis point
- Asia Ex-Japan Investment Grade CDS Index 213.03 +14.75%
- Emerging Market CDS Index 419.19 +3.22%
- iBoxx Offshore RMB China Corporate High Yield Index 169.93 -.54%
- 2-Year Swap Spread 19.0 -.5 basis point
- TED Spread 124.0 +11.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -11.75 -11.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 57.68 -.89%
- 3-Month T-Bill Yield -.03% unch.
- Yield Curve .54 -21.0 basis points
- China Iron Ore Spot 78.45 USD/Metric Tonne +.03%
- Citi US Economic Surprise Index 47.10 +1.8 points
- Citi Eurozone Economic Surprise Index 2.0 -.6 point
- Citi Emerging Markets Economic Surprise Index -28.4 +8.9 points
- 10-Year TIPS Spread .82 +15.0 basis points
- n/a chance of no change at April 29th meeting, n/a chance of no change at June 10th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +892 open in Japan
- China A50 Futures: Indicating -24 open in China
- DAX Futures: Indicating +83 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech sector longs, emerging market shorts and index hedges
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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