Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 22.04 +1.8%
- Euro/Yen Carry Return Index 136.75 -.05%
- Emerging Markets Currency Volatility(VXY) 12.49 -1.42%
- S&P 500 Implied Correlation 63.59 +5.23%
- ISE Sentiment Index 52.0 -59.06%
- Total Put/Call .89 +5.95%
- NYSE Arms .74 -15.32%
Credit Investor Angst:
- North American Investment Grade CDS Index 109.25 +1.18%
- America Energy Sector High-Yield CDS Index 2,002.0 -1.38%
- European Financial Sector CDS Index 107.81 +4.0%
- Western Europe Sovereign Debt CDS Index 25.91 +3.81%
- Asia Pacific Sovereign Debt CDS Index 79.68 -1.96%
- Emerging Market CDS Index 374.59 -.42%
- iBoxx Offshore RMB China Corporate High Yield Index 122.47 +.09%
- 2-Year Swap Spread 7.5 +1.25 basis points
- TED Spread 29.25 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -19.75 +.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 68.85 +.76%
- 3-Month T-Bill Yield .29% -4.0 basis points
- Yield Curve 115.0 -1.0 basis point
- China Import Iron Ore Spot $45.52/Metric Tonne +1.99%
- Citi US Economic Surprise Index -55.7 -1.5 points
- Citi Eurozone Economic Surprise Index -18.80 -.2 point
- Citi Emerging Markets Economic Surprise Index -8.50 -.1 point
- 10-Year TIPS Spread 1.37% -1.0 basis point
- 13.5% chance of Fed rate hike at April 27 meeting, 25.6% chance at June 15 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -229 open in Japan
- China A50 Futures: Indicating -58 open in China
- DAX Futures: Indicating -17 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail sector longs and emerging markets shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
No comments:
Post a Comment