Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Slightly Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 13.07 +2.75%
- Euro/Yen Carry Return Index 128.22 +.29%
- Emerging Markets Currency Volatility(VXY) 11.13 +.09%
- S&P 500 Implied Correlation 49.32 -3.66%
- ISE Sentiment Index 65.0 -40.37%
- Total Put/Call .86 +43.33%
- NYSE Arms .76 -5.99%
Credit Investor Angst:
- North American Investment Grade CDS Index 67.71 -.12%
- America Energy Sector High-Yield CDS Index 438.0 +.48%
- European Financial Sector CDS Index 95.12 +1.96%
- Western Europe Sovereign Debt CDS Index 20.41 +3.19%
- Asia Pacific Sovereign Debt CDS Index 35.57 -1.93%
- Emerging Market CDS Index 242.64 +.03%
- iBoxx Offshore RMB China Corporate High Yield Index 133.03 -.08%
- 2-Year Swap Spread 23.25 +1.25 basis points
- TED Spread 44.0 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -53.75 +1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.0 -.5%
- 3-Month T-Bill Yield .53% unch,
- Yield Curve 128.0 -3.0 basis points
- China Import Iron Ore Spot $79.18/Metric Tonne -5.08%
- Citi US Economic Surprise Index 27.50 -5.1 points
- Citi Eurozone Economic Surprise Index 57.50 -1.5 basis points
- Citi Emerging Markets Economic Surprise Index 3.10 -.1 point
- 10-Year TIPS Spread 1.96% -3.0 basis points
- 36.1% chance of Fed rate hike at March 15 meeting, 46.0% chance at May 3 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +110 open in Japan
- China A50 Futures: Indicating -4 open in China
- DAX Futures: Indicating +35 open in Germany
Portfolio:
- Higher: On gains in my tech sector longs, index hedges and emerging market shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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