Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.90 +4.0%
- Euro/Yen Carry Return Index 128.28 +.31%
- Emerging Markets Currency Volatility(VXY) 11.36 -.70%
- S&P 500 Implied Correlation 48.01 -2.42%
- ISE Sentiment Index 53.0 -48.54%
- Total Put/Call 1.06 +23.26%
- NYSE Arms .70 -16.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 66.33 -.88%
- America Energy Sector High-Yield CDS Index 454.0 +.79%
- European Financial Sector CDS Index 91.53 +.19%
- Western Europe Sovereign Debt CDS Index 20.53 +.79%
- Asia Pacific Sovereign Debt CDS Index 37.32 +.59%
- Emerging Market CDS Index 243.86 -.49%
- iBoxx Offshore RMB China Corporate High Yield Index 132.94 -.26%
- 2-Year Swap Spread 28.25 -1.75 basis points
- TED Spread 46.0 -3.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -66.25 -4.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.61 -.05%
- 3-Month T-Bill Yield .51% unch.
- Yield Curve 133.0 -1.0 basis point
- China Import Iron Ore Spot $79.42/Metric Tonne +1.64%
- Citi US Economic Surprise Index 24.50 -1.1 points
- Citi Eurozone Economic Surprise Index 46.0 -8.5 basis points
- Citi Emerging Markets Economic Surprise Index 10.40 +.5 point
- 10-Year TIPS Spread 2.01% +1.0 basis point
- 33.3% chance of Fed rate hike at March 15 meeting, 43.7% chance at May 3 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +47 open in Japan
- China A50 Futures: Indicating +3 open in China
- DAX Futures: Indicating +1 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/retail sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
No comments:
Post a Comment