Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Light
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 13.59 +4.94%
- Euro/Yen Carry Return Index 127.60 +.09%
- Emerging Markets Currency Volatility(VXY) 11.32 -.61%
- S&P 500 Implied Correlation 49.78 +.95%
- ISE Sentiment Index 92.0 -13.21%
- Total Put/Call .91 +1.11%
- NYSE Arms 1.12 -21.03%
Credit Investor Angst:
- North American Investment Grade CDS Index 68.03 +1.08%
- America Energy Sector High-Yield CDS Index 454.0 -.03%
- European Financial Sector CDS Index 95.02 +.93%
- Western Europe Sovereign Debt CDS Index 20.50 +.59%
- Asia Pacific Sovereign Debt CDS Index 37.75 +.21%
- Emerging Market CDS Index 241.06 -.46%
- iBoxx Offshore RMB China Corporate High Yield Index 133.19 +.01%
- 2-Year Swap Spread 25.0 +1.5 basis points
- TED Spread 53.0 +5.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -54.0 +23.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.83 +.45%
- 3-Month T-Bill Yield .45% -6.0 basis points
- Yield Curve 126.0 +1.0 basis point
- China Import Iron Ore Spot $80.43/Metric Tonne -.31%
- Citi US Economic Surprise Index 23.90 -.4 point
- Citi Eurozone Economic Surprise Index 54.10 +.4 basis points
- Citi Emerging Markets Economic Surprise Index 17.90 +7.3 points
- 10-Year TIPS Spread 1.96% -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 -105 open in Japan
- China A50 Futures: Indicating +38 open in China
- DAX Futures: Indicating -12 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail/biotech sector longs and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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