Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Light
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 11.52 +2.22%
- Euro/Yen Carry Return Index 128.23 +.19%
- Emerging Markets Currency Volatility(VXY) 11.21 -.44%
- S&P 500 Implied Correlation 49.33 -1.38%
- ISE Sentiment Index 36.0 -53.25%
- Total Put/Call .91 -1.09%
- NYSE Arms 1.41 -12.13%
Credit Investor Angst:
- North American Investment Grade CDS Index 66.48 -.29%
- America Energy Sector High-Yield CDS Index 452.0 -7.82%
- European Financial Sector CDS Index 94.16 +.33%
- Western Europe Sovereign Debt CDS Index 20.57 +.98%
- Asia Pacific Sovereign Debt CDS Index 37.21 -.08%
- Emerging Market CDS Index 245.23 +1.51%
- iBoxx Offshore RMB China Corporate High Yield Index 133.09 -.02%
- 2-Year Swap Spread 30.5 +2.0 basis points
- TED Spread 50.0 +2.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -59.0 -2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.48 -.05%
- 3-Month T-Bill Yield .50% -1.0 basis point
- Yield Curve 136.0 +2.0 basis points
- China Import Iron Ore Spot $76.15/Metric Tonne -3.84%
- Citi US Economic Surprise Index 21.0 -1.8 points
- Citi Eurozone Economic Surprise Index 56.30 -.4 basis point
- Citi Emerging Markets Economic Surprise Index 7.90 +.2 point
- 10-Year TIPS Spread 1.97% +4.0 basis points
- 33.3% chance of Fed rate hike at March 15 meeting, 43.7% chance at May 3 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +12 open in Japan
- China A50 Futures: Indicating -17 open in China
- DAX Futures: Indicating -7 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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