Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 22.76 +1.16%
- Euro/Yen Carry Return Index 135.24 +.55%
- Emerging Markets Currency Volatility(VXY) 11.86 +.51%
- S&P 500 Implied Correlation 65.0 +3.39%
- ISE Sentiment Index 143.0 -2.05%
- Total Put/Call .97 +11.49%
- NYSE Arms .60 +11.47%
Credit Investor Angst:
- North American Investment Grade CDS Index 104.93 +.23%
- America Energy Sector High-Yield CDS Index 1,851.0 +2.28%
- European Financial Sector CDS Index 87.57 -1.46%
- Western Europe Sovereign Debt CDS Index 19.57 -2.93%
- Asia Pacific Sovereign Debt CDS Index 73.77 -.24%
- Emerging Market CDS Index 377.08 -.88%
- iBoxx Offshore RMB China Corporate High Yield Index 122.08 -.01%
- 2-Year Swap Spread 7.0 +.5 basis point
- TED Spread 31.0 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -22.0 -.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.31 unch.
- 3-Month T-Bill Yield .32% +1.0 basis point
- Yield Curve 117.0 +1.0 basis point
- China Import Iron Ore Spot $42.43/Metric Tonne +3.29%
- Citi US Economic Surprise Index -33.3 +6.1 points
- Citi Eurozone Economic Surprise Index -17.30 -1.7 points
- Citi Emerging Markets Economic Surprise Index -7.4 -.5 point
- 10-Year TIPS Spread 1.40% +4.0 basis points
- 21.1% chance of Fed rate hike at March 16 meeting, 27.2% chance at April 27 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -64 open in Japan
- China A50 Futures: Indicating +51 open in China
- DAX Futures: Indicating -142 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
No comments:
Post a Comment