Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Heavy
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 77.3 +33.7%
- Euro/Yen Carry Return Index 122.76 -1.22%
- Emerging Markets Currency Volatility(VXY) 13.3 +6.6%
- S&P 500 Implied Correlation 86.4 +4.9%
- ISE Sentiment Index 73.0 +19
- Total Put/Call 1.28 +1.59%
- NYSE Arms .80 +110.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 125.64 +17.0%
- America Energy Sector High-Yield CDS Index 1,394.0 -2.69%
- European Financial Sector CDS Index 144.23 +10.4%
- Italian/German 10Y Yld Spread 262.75 +29.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 142.58 +10.86%
- Emerging Market CDS Index 416.27 +20.6%
- iBoxx Offshore RMB China Corporate High Yield Index 170.88 -.29%
- 2-Year Swap Spread 8.25 +4.5 basis points
- TED Spread 60.0 +11.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -81.0 -16.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.95 -1.69%
- 3-Month T-Bill Yield .19% -7.0 basis points
- Yield Curve .40 +7.0 basis points
- China Iron Ore Spot 85.7 USD/Metric Tonne -2.0%
- Citi US Economic Surprise Index 61.70 -12.1 points
- Citi Eurozone Economic Surprise Index 14.3 +.1 point
- Citi Emerging Markets Economic Surprise Index -41.2 -22.1 points
- 10-Year TIPS Spread .73 -19.0 basis point
- n/a chance of 100.0 basis point Fed rate cut at April 29th meeting, n/a chance of 100.0 basis point cut at June 10th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -532 open in Japan
- China A50 Futures: Indicating -647 open in China
- DAX Futures: Indicating -189 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
No comments:
Post a Comment