Broad Equity Market Tone:
- Advance/Decline Line: Substantially lower
- Sector Performance: Every Sector Declining
- Volume: Heavy
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 53.8 +28.2%
- Euro/Yen Carry Return Index 121.38 -1.64%
- Emerging Markets Currency Volatility(VXY) 11.24 +30.7%
- S&P 500 Implied Correlation 68.0 +21.0%
- ISE Sentiment Index 60.0 -20
- Total Put/Call 2.05 +72.3%
- NYSE Arms 1.50 +26.05%
Credit Investor Angst:
- North American Investment Grade CDS Index 114.25 +41.5%
- America Energy Sector High-Yield CDS Index 1,073.0 +27.8%
- European Financial Sector CDS Index 122.51 +34.6%
- Italian/German 10Y Yld Spread 225.0 +49.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 109.56 +50.0%
- Emerging Market CDS Index 343.86 +29.6%
- iBoxx Offshore RMB China Corporate High Yield Index 171.93 +.14%
- 2-Year Swap Spread 14.0 +2.25 basis points
- TED Spread 44.50 -14.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -28.0 -14.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 62.15 -1.78%
- 3-Month T-Bill Yield .36% -10.0 basis points
- Yield Curve .20 -13.0 basis points
- China Iron Ore Spot 84.0 USD/Metric Tonne -1.20%
- Citi US Economic Surprise Index 69.60 +.7 point
- Citi Eurozone Economic Surprise Index 7.6 -.6 point
- Citi Emerging Markets Economic Surprise Index -18.4 -2.5 points
- 10-Year TIPS Spread 1.0 -30.0 basis points
- 50.5% chance of 100.0 basis point Fed rate cut at April 29th meeting, 53.4% chance of 75.0 basis point cut at June 10th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -833 open in Japan
- China A50 Futures: Indicating -175 open in China
- DAX Futures: Indicating -135 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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