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) 26.95 +15.27%
- Euro/Yen Carry Return Index 134.85 -1.01%
- Emerging Markets Currency Volatility(VXY) 12.86 +2.14%
- S&P 500 Implied Correlation 64.98 +3.49%
- ISE Sentiment Index 45.0 -19.64%
- Total Put/Call 1.12 +15.46%
- NYSE Arms 1.10 +10.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 122.19 +6.47%
- America Energy Sector High-Yield CDS Index 2,058.0 +1.26%
- European Financial Sector CDS Index 136.82 +13.3%
- Western Europe Sovereign Debt CDS Index 28.42 +5.8%
- Asia Pacific Sovereign Debt CDS Index 84.10 +4.75%
- Emerging Market CDS Index 393.74 +3.64%
- iBoxx Offshore RMB China Corporate High Yield Index 122.90 +.06%
- 2-Year Swap Spread 11.25 +2.75 basis points
- TED Spread 33.50 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -23.75 -2.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 68.23 -.50%
- 3-Month T-Bill Yield .27% -1.0 basis point
- Yield Curve 108.0 -5.0 basis points
- China Import Iron Ore Spot $45.73/Metric Tonne n/a
- Citi US Economic Surprise Index -55.7 +2.2 points
- Citi Eurozone Economic Surprise Index -20.70 -1.3 points
- Citi Emerging Markets Economic Surprise Index -5.30 +.9 point
- 10-Year TIPS Spread 1.25% -10.0 basis points
- 5.9% chance of Fed rate hike at April 27 meeting, 15.3% chance at June 15 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -739 open in Japan
- China A50 Futures: Indicating n/a open in China
- DAX Futures: Indicating -41 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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