Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 30.9 +18.5%
- Euro/Yen Carry Return Index 132.85 -.97%
- Emerging Markets Currency Volatility(VXY) 12.23 +2.86%
- S&P 500 Implied Correlation 65.83 +2.7%
- ISE Sentiment Index 37.0 -53.75%
- Total Put/Call 1.27 +41.1%
- NYSE Arms 1.02 -7.72%
Credit Investor Angst:
- North American Investment Grade CDS Index 114.22 +3.64%
- America Energy Sector High-Yield CDS Index 1,982.0 +8.4%
- European Financial Sector CDS Index 95.65 +6.1%
- Western Europe Sovereign Debt CDS Index 19.71 +7.56%
- Asia Pacific Sovereign Debt CDS Index 80.25 +3.0%
- Emerging Market CDS Index 405.01 +2.44%
- iBoxx Offshore RMB China Corporate High Yield Index 122.25 -.04%
- 2-Year Swap Spread 6.25 -.25 basis point
- TED Spread 37.0 -2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -23.25 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.56 -.91%
- 3-Month T-Bill Yield .26% +2.0 basis points
- Yield Curve 116.0 -2.0 basis points
- China Import Iron Ore Spot $41.61/Metric Tonne -2.73%
- Citi US Economic Surprise Index -45.1 -9.9 points
- Citi Eurozone Economic Surprise Index 12.80 -2.8 points
- Citi Emerging Markets Economic Surprise Index -9.40 -1.1 points
- 10-Year TIPS Spread 1.33% -7.0 basis points
- 23.9% chance of Fed rate hike at March 16 meeting, 26.7% chance at April 27 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -201 open in Japan
- China A50 Futures: Indicating -254 open in China
- DAX Futures: Indicating -23 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging markets shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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