Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 37.8 +12.9%
- Euro/Yen Carry Return Index 124.3 -.7%
- Emerging Markets Currency Volatility(VXY) 8.0 -3.5%
- S&P 500 Implied Correlation 59.1 +9.2%
- ISE Sentiment Index 111.0 +39
- Total Put/Call .93 -30.0%
- NYSE Arms 2.50 +117.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 69.64 +7.23%
- America Energy Sector High-Yield CDS Index 584.0 -4.15%
- European Financial Sector CDS Index 69.64 -12.44%
- Italian/German 10Y Yld Spread 162.75 -14.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 66.88 -1.23%
- Emerging Market CDS Index 233.69 +.72%
- iBoxx Offshore RMB China Corporate High Yield Index 171.25 -.04%
- 2-Year Swap Spread 7.5 +1.25 basis points
- TED Spread 29.0 +9.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap 13.25 +38.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 64.0 +.17%
- 3-Month T-Bill Yield .91% -26.0 basis points
- Yield Curve .27 -4.0 basis points
- China Iron Ore Spot 86.0 USD/Metric Tonne +.22%
- Citi US Economic Surprise Index 55.70 -1.3 points
- Citi Eurozone Economic Surprise Index 3.9 +.8 point
- Citi Emerging Markets Economic Surprise Index -14.5 -.6 point
- 10-Year TIPS Spread 1.45 +4.0 basis points
- 57.9% chance of 75.0 basis point Fed rate cut at April 29th meeting, 53.8% chance of 75.0 basis point cut at June 10th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -217 open in Japan
- China A50 Futures: Indicating -29 open in China
- DAX Futures: Indicating -167 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/industrial/biotech/medical/retail sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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