Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 22.66 -6.25%
- Euro/Yen Carry Return Index 134.34 +.16%
- Emerging Markets Currency Volatility(VXY) 11.78 -.42%
- S&P 500 Implied Correlation 65.06 +.96%
- ISE Sentiment Index 178.0 +109.4%
- Total Put/Call .89 -13.59%
- NYSE Arms .43 -71.58%
Credit Investor Angst:
- North American Investment Grade CDS Index 104.35 -2.15%
- America Energy Sector High-Yield CDS Index 1,808.0 +3.74%
- European Financial Sector CDS Index 88.86 -1.16%
- Western Europe Sovereign Debt CDS Index 20.15 -1.51%
- Asia Pacific Sovereign Debt CDS Index 76.0 -1.88%
- Emerging Market CDS Index 379.95 -1.80%
- iBoxx Offshore RMB China Corporate High Yield Index 122.09 +.05%
- 2-Year Swap Spread 6.5 +.75 basis point
- TED Spread 32.0 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -22.75 +.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.33 +.5%
- 3-Month T-Bill Yield .31% +3.0 basis points
- Yield Curve 116.0 +1.0 basis point
- China Import Iron Ore Spot $41.08/Metric Tonne -1.18%
- Citi US Economic Surprise Index -39.4 +1.3 points
- Citi Eurozone Economic Surprise Index -15.60 -1.6 points
- Citi Emerging Markets Economic Surprise Index -6.9 +2.2 points
- 10-Year TIPS Spread 1.36% +2.0 basis points
- 21.6% chance of Fed rate hike at March 16 meeting, 27.7% chance at April 27 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +320 open in Japan
- China A50 Futures: Indicating +131 open in China
- DAX Futures: Indicating -5 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/medical/retail sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
No comments:
Post a Comment