The Citigroup economic surprise index is now clearly in the negative territory in a trend reminiscent of last year's decline.
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| Citi Economic Surprise Index |
Given the rising concerns out of Europe today, there is a strong possibility we may be looking at sharply higher market volatility. As discussed back in March, the VIX futures curve steepness earlier in the year seemed to be a good predictor of uncertainties in the post-LTRO environment.
BW/Bloomberg: - The Citigroup Economic Surprise Index for the U.S., a gauge of how much reports differ from economists’ estimates in Bloomberg surveys, turned negative on April 25 and fell May 3 to the lowest level since September. Last year, the gauge sank below zero for the first time in five months on May 2, the day when the S&P 500 began a 19 percent drop.
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