Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Every Sector Declining
- Volume: Heavy
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 83.7 +10.0%
- Euro/Yen Carry Return Index 121.92 -.73%
- Emerging Markets Currency Volatility(VXY) 13.9 +6.4%
- S&P 500 Implied Correlation 86.35 +.4%
- ISE Sentiment Index 58.0 -3
- Total Put/Call 1.49 +46.1%
- NYSE Arms 1.67 +167.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 143.73 +15.4%
- America Energy Sector High-Yield CDS Index 1,484.0 +1.5%
- European Financial Sector CDS Index 163.97 +14.4%
- Italian/German 10Y Yld Spread 267.0 -12.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 151.21 +6.7%
- Emerging Market CDS Index 456.72 +17.0%
- iBoxx Offshore RMB China Corporate High Yield Index 171.03 +.04%
- 2-Year Swap Spread 9.75 -.5 basis point
- TED Spread 89.25 +27.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -26.75 +19.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 58.29 -2.17%
- 3-Month T-Bill Yield .01% -16.0 basis points
- Yield Curve .56 +18.0 basis points
- China Iron Ore Spot 89.24 USD/Metric Tonne +.70%
- Citi US Economic Surprise Index 60.70 +3.1 points
- Citi Eurozone Economic Surprise Index 2.8 -.3 point
- Citi Emerging Markets Economic Surprise Index -40.3 -.3 point
- 10-Year TIPS Spread .64 unch.
- 88.3% chance of no change at April 29th meeting, 80.7% chance of no change at June 10th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -436 open in Japan
- China A50 Futures: Indicating -481 open in China
- DAX Futures: Indicating -155 open in Germany
Portfolio:
- Slightly Lower: On losses in my consumer staple, biotech, tech, medical, industrial sector longs
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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