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) 34.6 +10.8%
- Euro/Yen Carry Return Index 121.73 +1.2%
- Emerging Markets Currency Volatility(VXY) 11.06 -1.95%
- S&P 500 Implied Correlation 73.05 +7.9%
- ISE Sentiment Index 123.0 +28.0 points
- Total Put/Call .92 -9.8%
- NYSE Arms .96 -21.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 87.05 -.88%
- US Energy High-Yield OAS 1,383.52 -2.33%
- European Financial Sector CDS Index 101.03 +5.95%
- Italian/German 10Y Yld Spread 235.25 +10.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 115.0 -2.8%
- Emerging Market CDS Index 335.45 -.19%
- iBoxx Offshore RMB China Corporate High Yield Index 163.61 +.02%
- 2-Year Swap Spread 12.75 -.25 basis point
- TED Spread 67.0 -8.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap 8.0 -10.0 basis points
- MBS 5/10 Treasury Spread 103.0 -18.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 58.64 -.23%
- 3-Month T-Bill Yield .09% unch.
- Yield Curve 42.25-1.75 basis points
- China Iron Ore Spot 80.20 USD/Metric Tonne -.34%
- Citi US Economic Surprise Index -144.60 -27.3 points
- Citi Eurozone Economic Surprise Index -268.50 -28.7 points
- Citi Emerging Markets Economic Surprise Index 10.2 -1.9 points
- 10-Year TIPS Spread 1.08 -6.0 basis points
- n/a chance of no change at April 29th meeting, n/a chance of no change at June 10th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -173 open in Japan
- China A50 Futures: Indicating -350 open in China
- DAX Futures: Indicating -37 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech sector longs, index hedges and emerging market shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and emerging market shorts
- Market Exposure: Moved to 25% Net Long
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