Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 29.3 +22.3%
- Euro/Yen Carry Return Index 133.57 -.36%
- Emerging Markets Currency Volatility(VXY) 12.01 +2.74%
- S&P 500 Implied Correlation 64.83 +5.88%
- ISE Sentiment Index 60.0 -26.83%
- Total Put/Call 1.31 +29.7%
- NYSE Arms 1.94 +214.46%
Credit Investor Angst:
- North American Investment Grade CDS Index 109.87 +6.0%
- America Energy Sector High-Yield CDS Index 1,833.0 +1.33%
- European Financial Sector CDS Index 87.31 +4.19%
- Western Europe Sovereign Debt CDS Index 18.19 +2.28%
- Asia Pacific Sovereign Debt CDS Index 80.67 +4.49%
- Emerging Market CDS Index 399.56 +4.91%
- iBoxx Offshore RMB China Corporate High Yield Index 122.90 +.05%
- 2-Year Swap Spread 6.75 -.75 basis point
- TED Spread 37.75 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -23.0 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.17 -.78%
- 3-Month T-Bill Yield .23% -1.0 basis point
- Yield Curve 119.0 -1.0 basis point
- China Import Iron Ore Spot $41.12/Metric Tonne +2.24%
- Citi US Economic Surprise Index -33.8 -9.1 points
- Citi Eurozone Economic Surprise Index 19.60 -3.1 points
- Citi Emerging Markets Economic Surprise Index -4.10 +.4 point
- 10-Year TIPS Spread 1.4% -6.0 basis points
- 27.6% chance of Fed rate hike at March 16 meeting, 32.9% chance at April 27 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -452 open in Japan
- China A50 Futures: Indicating -379 open in China
- DAX Futures: Indicating -94 open in Germany
Portfolio:
- Lower: On losses in my tech/biotech/medical/retail sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
- Market Exposure: Moved to 25% Net Long
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