Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.63 +1.75%
- Euro/Yen Carry Return Index 127.93 -.17%
- Emerging Markets Currency Volatility(VXY) 11.33 +.89%
- S&P 500 Implied Correlation 49.33 +1.46%
- ISE Sentiment Index 106.0 +120.83%
- Total Put/Call 831 -5.68%
- NYSE Arms .91 -29.72%
Credit Investor Angst:
- North American Investment Grade CDS Index 66.80 -.07%
- America Energy Sector High-Yield CDS Index 454.0 +.1%
- European Financial Sector CDS Index 92.32 -2.02%
- Western Europe Sovereign Debt CDS Index 20.39 -.61%
- Asia Pacific Sovereign Debt CDS Index 37.23 -.05%
- Emerging Market CDS Index 245.23 -1.39%
- iBoxx Offshore RMB China Corporate High Yield Index 133.13 +.10%
- 2-Year Swap Spread 30.0 -.5 basis points
- TED Spread 49.0 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -62.25 -3.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.61 +.15%
- 3-Month T-Bill Yield .51% +1.0 basis point
- Yield Curve 134.0 -2.0 basis points
- China Import Iron Ore Spot $78.14/Metric Tonne +2.61%
- Citi US Economic Surprise Index 25.60 +4.6 points
- Citi Eurozone Economic Surprise Index 54.50 -1.8 basis points
- Citi Emerging Markets Economic Surprise Index 9.90 +2.0 points
- 10-Year TIPS Spread 2.0% +3.0 basis points
- 31.3% chance of Fed rate hike at March 15 meeting, 43.5% chance at May 3 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +23 open in Japan
- China A50 Futures: Indicating -61 open in China
- DAX Futures: Indicating -5 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/medical sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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