Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 49.69 -2.4%
- Euro/Yen Carry Return Index 121.67 -.06%
- Emerging Markets Currency Volatility(VXY) 12.77 +2.24%
- S&P 500 Implied Correlation 78.21 -.43%
- ISE Sentiment Index 38.0 -49.0 points
- Total Put/Call .99 -18.2%
- NYSE Arms .71 -19.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 130.14 +5.4%
- America Energy Sector High-Yield CDS Index 1,423.0 -.54%
- European Financial Sector CDS Index 130.29 +4.11%
- Italian/German 10Y Yld Spread 199.0 +9.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 151.67 +.74%
- Emerging Market CDS Index 392.91 +7.17%
- iBoxx Offshore RMB China Corporate High Yield Index 156.12 -5.22%
- 2-Year Swap Spread 24.5 +.5 basis point
- TED Spread 131.0 -8.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap 66.5 +2.75 basis points
- MBS 5/10 Treasury Spread 130.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 57.57 -.83%
- 3-Month T-Bill Yield .07% unch.
- Yield Curve .37 -2.0 basis points
- China Iron Ore Spot 79.56 USD/Metric Tonne -1.23%
- Citi US Economic Surprise Index -41.3 -10.2 points
- Citi Eurozone Economic Surprise Index -72.40 -26.2 points
- Citi Emerging Markets Economic Surprise Index -1.3 +2.3 points
- 10-Year TIPS Spread 1.03 +1.0 basis point
- 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 -70 open in Japan
- China A50 Futures: Indicating -106 open in China
- DAX Futures: Indicating -103 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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