Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 17.5 +6.7%
- Euro/Yen Carry Return Index 124.47 -.05%
- Emerging Markets Currency Volatility(VXY) 6.69 +5.52%
- S&P 500 Implied Correlation 43.65 -2.61%
- ISE Sentiment Index 76.0 -43
- Total Put/Call .84 unch.
- NYSE Arms 1.44 +9.92%
Credit Investor Angst:
- North American Investment Grade CDS Index 48.63 +2.32%
- America Energy Sector High-Yield CDS Index 615.0 -1.05%
- European Financial Sector CDS Index 53.83 +1.84%
- Italian/German 10Y Yld Spread 134.75 +1.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 58.0 +3.14%
- Emerging Market CDS Index 194.58 +2.03%
- iBoxx Offshore RMB China Corporate High Yield Index 169.90 +.02%
- 2-Year Swap Spread 5.75-.5 basis point
- TED Spread 21.5 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -4.5 +.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.33 -.45%
- 3-Month T-Bill Yield 1.56% +1.0 basis point
- Yield Curve .17 -3.0 basis points
- China Iron Ore Spot 81.65 USD/Metric Tonne -4.95%
- Citi US Economic Surprise Index 8.20 +1.2 points
- Citi Eurozone Economic Surprise Index 43.80 +3.2 points
- Citi Emerging Markets Economic Surprise Index 13.3 +.5 point
- 10-Year TIPS Spread 1.64 unch.
- 29.5% chance of Fed April 29th meeting, 49.0% chance of cut at June 10th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +52 open in Japan
- China A50 Futures: Indicating -919 open in China
- DAX Futures: Indicating +16 open in Germany
Portfolio:
- Higher: On gains in my tech/medical sector longs, index hedges and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
- Market Exposure: 50% Net Long
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