Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Every Sector Declining
- Volume: Above-Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 45.4 +3.6%
- Euro/Yen Carry Return Index 121.35 +.05%
- Emerging Markets Currency Volatility(VXY) 11.73 +3.08%
- S&P 500 Implied Correlation 81.21 +3.0%
- ISE Sentiment Index 52.0 -29.0 points
- Total Put/Call 1.13 +22.8%
- NYSE Arms .98 -18.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 97.73 +6.4%
- America Energy Sector High-Yield CDS Index 1,323.0 -1.45%
- European Financial Sector CDS Index 115.64 +7.3%
- Italian/German 10Y Yld Spread 263.25 +24.5 basis points
- Asia Ex-Japan Investment Grade CDS Index 122.91 +5.81%
- Emerging Market CDS Index 365.15 +5.6%
- iBoxx Offshore RMB China Corporate High Yield Index 166.10 -.02%
- 2-Year Swap Spread 20.5 -1.75 basis point
- TED Spread 103.0 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap 38.50 -7.0 basis points
- MBS 5/10 Treasury Spread 139.0 +3.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 57.81 -.66%
- 3-Month T-Bill Yield .08% -1.0 basis point
- Yield Curve 40.0 -3.0 basis points
- China Iron Ore Spot 80.50 USD/Metric Tonne -3.49%
- Citi US Economic Surprise Index -133.10 unch.
- Citi Eurozone Economic Surprise Index -31.50 +30.2 points
- Citi Emerging Markets Economic Surprise Index -6.70 +.5 point
- 10-Year TIPS Spread .96 +2.0 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 -220 open in Japan
- China A50 Futures: Indicating -186 open in China
- DAX Futures: Indicating -2 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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