Spreads were tighter in all the major indices today as new 2009/contract tights were seen everywhere with the high beta compression, roll compression, and curve steepening trend continuing - although HY and IG both ended well off their best levels of the day (even as stocks closed at their highs). IG12 moved back above Par and HY12 was below 600bps intraday. The drop in dispersion among single-names seems to signal traders are unwilling to step in to the high beta screamers pre-roll and we feel stringly that the steepening/roll compression has moved index curves in the off-the-runs way rich and way steep compared to intrinsics and offer some pretty cheap options for those who are not buying the recovery in refi risk.

IG trades 20.5bps tight (rich) to its 50d moving average, which is a Z-Score of -2.1s.d.. At 98bps, IG has not closed tighter this year (and based on intrinsics we are back to Aug/Sep08 levels). The last five days have seen IG diverging from its 50d moving average which is now at 118bps.

Indices typically underperformed single-names with skews widening in general as roll technicals are exaggerated by this rally and very few seem willing to step in front of the flodd pre-roll.

The names having the largest impact on IG are American International Group, Inc. (-87.74bps) pushing IG 0.59bps tighter, and AT&T Mobility LLC (+1bps) adding 0.01bps to IG. HVOL is more sensitive with American International Group, Inc. pushing it 2.54bps tighter, and MDC Holdings Inc contributing 0bps to HVOL's change today. The less volatile ExHVOL's move today is driven by both Hartford Financial Services Group (-35bps) pushing the index 0.38bps tighter, and AT&T Mobility LLC (+1bps) adding 0.01bps to ExHVOL.

The price of investment grade credit rose 0.26% to around 100.07% of par, while the price of high yield credits rose 0.62% to around 95% of par. ABX market prices are higher (improving) by 0.99% of par or in absolute terms, 2.48%. Broadly speaking, CMBX market prices are higher (improving) by 0% of par or in absolute terms, 0%. Volatility (VIX) is up 0.27pts to 23.69%, with 10Y TSY selling off (yield rising) 1.7bps to 3.47% and the 2s10s curve flattened by 3.2bps, as the cost of protection on US Treasuries fell 1.82bps to 21.75bps. 2Y swap spreads tightened 0.5bps to 34.19bps, as the TED Spread widened by 3.2bps to 0.2% and Libor-OIS improved 0.1bps to 11.2bps.

The Dollar weakened with DXY falling 0.41% to 76.231, Oil rising $1.43 to $72.36 (outperforming the dollar as the value of Oil (rebased to the value of gold) rose by 1.08% today (a 1.61% rise in the relative (dollar adjusted) value of a barrel of oil), and Gold increasing $9.33 to $1016.88 as the S&P rallies (1068 1.69%) outperforming IG credits (98.25bps 0.26%) while IG, which opened tighter at 101.5bps, underperforms HY credits. IG11 and XOver11 are -4.75bps and -21.75bps respectively while ITRX11 is -4bps to 82bps.