Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 43.2 +3.6%
- Euro/Yen Carry Return Index 121.84 -1.0%
- Emerging Markets Currency Volatility(VXY) 11.48 +.26%
- S&P 500 Implied Correlation 77.7 +1.26%
- ISE Sentiment Index 173.0 +123.0 points
- Total Put/Call .85 -14.1%
- NYSE Arms 1.13 +113.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 85.42 +3.59%
- America Energy Sector High-Yield CDS Index 1,145.0 -10.7%
- European Financial Sector CDS Index 93.33 -.08%
- Italian/German 10Y Yld Spread 194.0 +.25 basis point
- Asia Ex-Japan Investment Grade CDS Index 123.61 -8.0%
- Emerging Market CDS Index 306.93 +1.42%
- iBoxx Offshore RMB China Corporate High Yield Index 157.49 +.07%
- 2-Year Swap Spread 22.0 -1.25 basis points
- TED Spread 102.5 -7.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap 37.25 -.75 basis point
- MBS 5/10 Treasury Spread 121.0 +8.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 58.99 -.44%
- 3-Month T-Bill Yield .20% +1.0 basis point
- Yield Curve .51 +2.0 basis points
- China Iron Ore Spot 82.90 USD/Metric Tonne +.34%
- Citi US Economic Surprise Index -81.9 -14.2 points
- Citi Eurozone Economic Surprise Index -61.80 +2.9 points
- Citi Emerging Markets Economic Surprise Index 9.60 +7.9 points
- 10-Year TIPS Spread 1.26 +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 -127 open in Japan
- China A50 Futures: Indicating -97 open in China
- DAX Futures: Indicating -17 open in Germany
Portfolio:
- Slightly Higher: On gains in my consumer staple/tech sector longs and index hedges
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
No comments:
Post a Comment