Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 64.5 -14.5%
- Euro/Yen Carry Return Index 123.72 +1.99%
- Emerging Markets Currency Volatility(VXY) 12.65 +.8%
- S&P 500 Implied Correlation 80.2 -4.29%
- ISE Sentiment Index 54.0 -14
- Total Put/Call 1.22 -17.0%
- NYSE Arms .85 +57.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 119.73 -13.9%
- America Energy Sector High-Yield CDS Index 1,425.0 +5.65%
- European Financial Sector CDS Index 131.09 -11.9%
- Italian/German 10Y Yld Spread 233.0 -17.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 128.59 -2.48%
- Emerging Market CDS Index 357.69 -10.2%
- iBoxx Offshore RMB China Corporate High Yield Index 171.38 +.02%
- 2-Year Swap Spread 3.75 +5.25 basis points
- TED Spread 49.50 +4.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -65.0 -49.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.95 -.07%
- 3-Month T-Bill Yield .26% -15.0 basis points
- Yield Curve .33 unch.
- China Iron Ore Spot 89.0 USD/Metric Tonne +.74%
- Citi US Economic Surprise Index 73.80 +.3 point
- Citi Eurozone Economic Surprise Index 14.2 +.7 point
- Citi Emerging Markets Economic Surprise Index -19.4 -2.1 points
- 10-Year TIPS Spread .92 -1.0 basis point
- 65.0% chance of 100.0 basis point Fed rate cut at April 29th meeting, 63.4% chance of 100.0 basis point cut at June 10th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +279 open in Japan
- China A50 Futures: Indicating -92 open in China
- DAX Futures: Indicating +108 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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