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) 63.7 +4.7%
- Euro/Yen Carry Return Index 124.25 -.99%
- Emerging Markets Currency Volatility(VXY) 12.69 +4.6%
- S&P 500 Implied Correlation 76.7 +24.0%
- ISE Sentiment Index 100.0 +32
- Total Put/Call .99 +2.1%
- NYSE Arms 1.52 +43.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 105.75 +7.5%
- America Energy Sector High-Yield CDS Index 1,338.0 -4.15%
- European Financial Sector CDS Index 112.12 +12.5%
- Italian/German 10Y Yld Spread 180.0 +21.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 135.40 +2.69%
- Emerging Market CDS Index 293.0 +16.5%
- iBoxx Offshore RMB China Corporate High Yield Index 169.94 +.09%
- 2-Year Swap Spread 25.5 +2.25 basis points
- TED Spread 142.0 +9.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap 23.5 -1.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 59.26 -.31%
- 3-Month T-Bill Yield -.04% +5.0 basis points
- Yield Curve .48 -1.0 basis point
- China Iron Ore Spot 82.75 USD/Metric Tonne -1.79%
- Citi US Economic Surprise Index -1.3 -2.3 points
- Citi Eurozone Economic Surprise Index -57.70 +1.2 points
- Citi Emerging Markets Economic Surprise Index -24.2 +20.2 points
- 10-Year TIPS Spread .96 -12.0 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 -379 open in Japan
- China A50 Futures: Indicating -154 open in China
- DAX Futures: Indicating +1 open in Germany
Portfolio:
- Higher: On gains in my consumer staple 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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