Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Heavy
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 56.1 +4.7%
- Euro/Yen Carry Return Index 121.74 -1.3%
- Emerging Markets Currency Volatility(VXY) 12.6 +2.7%
- S&P 500 Implied Correlation 86.5 +10.8%
- ISE Sentiment Index 75.0 +19.0 points
- Total Put/Call 1.20 -.83%
- NYSE Arms .86 -23.21%
Credit Investor Angst:
- North American Investment Grade CDS Index 121.98 +8.56%
- America Energy Sector High-Yield CDS Index 1,402.0 +1.03%
- European Financial Sector CDS Index 125.40 +6.4%
- Italian/German 10Y Yld Spread 196.75 -2.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 148.0 +5.2%
- Emerging Market CDS Index 378.28 +7.21%
- iBoxx Offshore RMB China Corporate High Yield Index 165.10 +.23%
- 2-Year Swap Spread 25.0 -1.0 basis point
- TED Spread 136.0 -5.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap 54.25 +10.75 basis points
- MBS 5/10 Treasury Spread 137.0 +10.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 57.85 -1.21%
- 3-Month T-Bill Yield .05% +2.0 basis points
- Yield Curve .40 -6.0 basis points
- China Iron Ore Spot 77.60 USD/Metric Tonne -5.3%
- Citi US Economic Surprise Index 24.8 +27.8 points
- Citi Eurozone Economic Surprise Index -41.60 +8.6 points
- Citi Emerging Markets Economic Surprise Index 0.0 +6.6 points
- 10-Year TIPS Spread .95 +8.0 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 -140 open in Japan
- China A50 Futures: Indicating -233 open in China
- DAX Futures: Indicating -147 open in Germany
Portfolio:
- Slightly Higher: On gains in my consumer staple sector longs, index hedges and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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