Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 18.63 -.21%
- Euro/Yen Carry Return Index 130.32 +.57%
- Emerging Markets Currency Volatility(VXY) 11.69 +.69%
- S&P 500 Implied Correlation 61.08 +.96%
- ISE Sentiment Index 94.0 unch.
- Total Put/Call .94 -4.08%
- NYSE Arms 1.40 -21.63%
Credit Investor Angst:
- North American Investment Grade CDS Index 96.91 -1.25%
- America Energy Sector High-Yield CDS Index 1,409.0 +.19%
- European Financial Sector CDS Index 98.37 -3.32%
- Western Europe Sovereign Debt CDS Index 30.32 -3.52%
- Asia Pacific Sovereign Debt CDS Index 68.81 -3.90%
- Emerging Market CDS Index 336.26 -3.02%
- iBoxx Offshore RMB China Corporate High Yield Index 124.72 -.01%
- 2-Year Swap Spread 5.0 +.5 basis point
- TED Spread 32.5 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -27.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.36 +.68%
- 3-Month T-Bill Yield .30% +1.0 basis point
- Yield Curve 99.0 +3.0 basis points
- China Import Iron Ore Spot $58.02/Metric Tonne -8.82%
- Citi US Economic Surprise Index -12.80 +.2 point
- Citi Eurozone Economic Surprise Index -55.20 -2.0 points
- Citi Emerging Markets Economic Surprise Index -17.30 -.5 point
- 10-Year TIPS Spread 1.51% +4.0 basis points
- 19.4% chance of Fed rate hike at April 27 meeting, 46.8% chance at June 15 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +88 open in Japan
- China A50 Futures: Indicating -133 open in China
- DAX Futures: Indicating -29 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
- Market Exposure: Moved to 50% Net Long
No comments:
Post a Comment