Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 20.04 +1.31%
- Euro/Yen Carry Return Index 128.34 -1.43%
- Emerging Markets Currency Volatility(VXY) 11.96 -1.73%
- S&P 500 Implied Correlation 60.99 +.84%
- ISE Sentiment Index 122.0 +4.27%
- Total Put/Call 1.33 +34.34%
- NYSE Arms 1.07 +16.68%
Credit Investor Angst:
- North American Investment Grade CDS Index 107.70 -2.12%
- America Energy Sector High-Yield CDS Index 2,412.0 +6.59%
- European Financial Sector CDS Index 107.91 -3.75%
- Western Europe Sovereign Debt CDS Index 34.21 +4.75%
- Asia Pacific Sovereign Debt CDS Index 76.70 +1.25%
- Emerging Market CDS Index 366.70 -.33%
- iBoxx Offshore RMB China Corporate High Yield Index 123.99 +.08%
- 2-Year Swap Spread 5.0 +1.25 basis points
- TED Spread 32.50 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -30.0 -3.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 68.44 +.49%
- 3-Month T-Bill Yield .32% +1.0 basis point
- Yield Curve 96.0 unch.
- China Import Iron Ore Spot $49.62/Metric Tonne +2.75%
- Citi US Economic Surprise Index -19.40 +2.0 points
- Citi Eurozone Economic Surprise Index -71.10 -10.7 points
- Citi Emerging Markets Economic Surprise Index -8.90 -1.0 point
- 10-Year TIPS Spread 1.45% +2.0 basis points
- 20.8% chance of Fed rate hike at April 27 meeting, 31.9% chance at June 15 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +39 open in Japan
- China A50 Futures: Indicating +13 open in China
- DAX Futures: Indicating -78 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech sector longs and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
- Market Exposure: 25% Net Long
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