Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.29 +6.88%
- Euro/Yen Carry Return Index 128.41 +.55%
- Emerging Markets Currency Volatility(VXY) 11.34 -.18%
- S&P 500 Implied Correlation 51.03 -1.14%
- ISE Sentiment Index 56.0 -33.33%
- Total Put/Call 1.0 +7.53%
- NYSE Arms 1.55 +30.72%
Credit Investor Angst:
- North American Investment Grade CDS Index 67.48 -.39%
- America Energy Sector High-Yield CDS Index 458.0 +.98%
- European Financial Sector CDS Index 93.57 -1.53%
- Western Europe Sovereign Debt CDS Index 20.87 +1.78%
- Asia Pacific Sovereign Debt CDS Index 36.11 -4.33%
- Emerging Market CDS Index 241.99 +.39%
- iBoxx Offshore RMB China Corporate High Yield Index 133.21 +.01%
- 2-Year Swap Spread 26.0 +1.0 basis points
- TED Spread 50.0 -3.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -56.0 -2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.79 unch.
- 3-Month T-Bill Yield .50% +5.0 basis points
- Yield Curve 126.0 unch.
- China Import Iron Ore Spot $78.87/Metric Tonne -1.94%
- Citi US Economic Surprise Index 23.30 -.6 point
- Citi Eurozone Economic Surprise Index 53.10 -1.0 basis point
- Citi Emerging Markets Economic Surprise Index 18.10 +.2 point
- 10-Year TIPS Spread 1.97% +1.0 basis point
- 31.3% chance of Fed rate hike at March 15 meeting, 42.0% chance at May 3 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -29 open in Japan
- China A50 Futures: Indicating +2 open in China
- DAX Futures: Indicating -35 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging markets shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
- Market Exposure: Moved to 25% Net Long
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