Broad Equity Market Tone:
- Advance/Decline Line: About Even
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 22.30 -3.46%
- Euro/Yen Carry Return Index 135.98 +.64%
- Emerging Markets Currency Volatility(VXY) 11.91 +.34%
- S&P 500 Implied Correlation 62.67 -3.68%
- ISE Sentiment Index 114.0 -17.99%
- Total Put/Call .83 -11.70%
- NYSE Arms 1.32 +83.41%
Credit Investor Angst:
- North American Investment Grade CDS Index 102.92 -1.92%
- America Energy Sector High-Yield CDS Index 1,765.0 -4.59%
- European Financial Sector CDS Index 92.25 +5.34%
- Western Europe Sovereign Debt CDS Index 18.95 -3.17%
- Asia Pacific Sovereign Debt CDS Index 73.11 -1.22%
- Emerging Market CDS Index 370.47 -1.61%
- iBoxx Offshore RMB China Corporate High Yield Index 122.14 +.05%
- 2-Year Swap Spread 7.0 unch.
- TED Spread 31.0 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -20.75 +1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.86 +.8%
- 3-Month T-Bill Yield .32% unch.
- Yield Curve 117.0 unch.
- China Import Iron Ore Spot $41.92/Metric Tonne -1.20%
- Citi US Economic Surprise Index -47.3 -14.0 points
- Citi Eurozone Economic Surprise Index -26.50 -9.2 points
- Citi Emerging Markets Economic Surprise Index -6.6 +.8 point
- 10-Year TIPS Spread 1.41% +1.0 basis point
- 14.0% chance of Fed rate hike at March 16 meeting, 20.9% chance at April 27 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +109 open in Japan
- China A50 Futures: Indicating -11 open in China
- DAX Futures: Indicating +9 open in Germany
Portfolio:
- Lower: On losses in my biotech/medical sector longs, index hedges and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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