Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Heavy
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 53.6 -6.0%
- Euro/Yen Carry Return Index 121.36 -.60%
- Emerging Markets Currency Volatility(VXY) 12.73 +2.0%
- S&P 500 Implied Correlation 79.16 -4.8%
- ISE Sentiment Index 87.0 +12.0 points
- Total Put/Call 1.23 +3.4%
- NYSE Arms .85 -27.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 124.44 +.9%
- America Energy Sector High-Yield CDS Index 1,439.0 +3.84%
- European Financial Sector CDS Index 125.14 -.21%
- Italian/German 10Y Yld Spread 190.0 -6.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 151.0 +3.33%
- Emerging Market CDS Index 371.94 -3.21%
- iBoxx Offshore RMB China Corporate High Yield Index 164.72 -.23%
- 2-Year Swap Spread 24.0 -1.0 basis point
- TED Spread 139.0 +3.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap 63.75 +8.75 basis points
- MBS 5/10 Treasury Spread 131.0 -6.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 57.92 -.03%
- 3-Month T-Bill Yield .07% +2.0 basis points
- Yield Curve .39 -1.0 basis point
- China Iron Ore Spot 80.59 USD/Metric Tonne +3.29%
- Citi US Economic Surprise Index -31.1 -55.9 points
- Citi Eurozone Economic Surprise Index -46.10 -4.5 points
- Citi Emerging Markets Economic Surprise Index -3.6 -3.6 points
- 10-Year TIPS Spread 1.02 +7.0 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 +233 open in Japan
- China A50 Futures: Indicating -160 open in China
- DAX Futures: Indicating -90 open in Germany
Portfolio:
- Slightly Higher: On gains in my consumer staple/medical/biotech sector longs and index hedges
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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