Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Every Sector Declining
- Volume: Heavy
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 67.1 +24.5%
- Euro/Yen Carry Return Index 121.91 -.14%
- Emerging Markets Currency Volatility(VXY) 13.0 +27.4%
- S&P 500 Implied Correlation 87.7 +32.0%
- ISE Sentiment Index 68.0 +16
- Total Put/Call 1.55 +14.0%
- NYSE Arms .71 -65.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 134.66 +17.0%
- America Energy Sector High-Yield CDS Index 1,352.0 +5.87%
- European Financial Sector CDS Index 150.65 +29.3%
- Italian/German 10Y Yld Spread 250.0 +58.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 131.71 +30.3%
- Emerging Market CDS Index 400.0 +15.0%
- iBoxx Offshore RMB China Corporate High Yield Index 171.34 +.09%
- 2-Year Swap Spread -2.5 -4.0 basis points
- TED Spread 45.0 +6.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -15.25 +3.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.10 -1.22%
- 3-Month T-Bill Yield .41% unch.
- Yield Curve .33 +11.0 basis points
- China Iron Ore Spot 85.36 USD/Metric Tonne -2.0%
- Citi US Economic Surprise Index 73.50 +1.2 points
- Citi Eurozone Economic Surprise Index 13.5 +1.7 point
- Citi Emerging Markets Economic Surprise Index -17.3 +2.9 points
- 10-Year TIPS Spread .93 -1.0 basis point
- 70.7% chance of 100.0 basis point Fed rate cut at April 29th meeting, 67.4% chance of 100.0 basis point cut at June 10th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -1,129 open in Japan
- China A50 Futures: Indicating -560 open in China
- DAX Futures: Indicating +15 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/biotech/medical/retail/industrial sector longs
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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