Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 22.1 +.4%
- Bloomberg Global Risk On/Risk Off Index 2,766.0 -112.0 points
- Euro/Yen Carry Return Index 132.17 +.03%
- Emerging Markets Currency Volatility(VXY) 10.03 +4.6%
- S&P 500 Implied Correlation 53.7 +5.0%
- ISE Sentiment Index 136.0 +20.0 points
- Total Put/Call .67 -11.8%
- NYSE Arms .84 -6.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 52.43 +2.0%
- US Energy High-Yield OAS 485.56 -.35%
- European Financial Sector CDS Index 59.75 +1.97%
- Italian/German 10Y Yld Spread 93.75 +.25 basis point
- Asia Ex-Japan Investment Grade CDS Index 57.58 +.91%
- Emerging Market CDS Index 173.84 +3.92%
- iBoxx Offshore RMB China Corporate High Yield Index 185.92 +.07%
- 2-Year Swap Spread 9.75 +.25 basis point
- TED Spread 14.75 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -3.5 -.75 basis point
- MBS 5/10 Treasury Spread 81.5 +3.5 basis points
- IHS Markit CMBX BBB- 6 75.75 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 62.77 -.22%
- 3-Month T-Bill Yield .03% unch.
- Yield Curve 128.0 +4.0 basis points
- China Iron Ore Spot 170.6 USD/Metric Tonne +1.3%
- Citi US Economic Surprise Index 73.1 -5.9 points
- Citi Eurozone Economic Surprise Index 155.7 -.1 point
- Citi Emerging Markets Economic Surprise Index 63.7 -2.1 points
- 10-Year TIPS Spread 2.17 +3.0 basis points
- 100.0% chance of no change at April 28th meeting, 100.0% chance of no change at June 16th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +14 open in Japan
- China A50 Futures: Indicating -14 open in China
- DAX Futures: Indicating +23 open in Germany
Portfolio:
- Higher: On gains in my energy/industrial sector longs, index hedges and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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