Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Heavy
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 12.56 -1.8%
- Euro/Yen Carry Return Index 128.55 +.02%
- Emerging Markets Currency Volatility(VXY) 11.43 -.35%
- S&P 500 Implied Correlation 49.05 -.16%
- ISE Sentiment Index 77.0 -35.29%
- Total Put/Call .87 +3.57%
- NYSE Arms 1.44+65.45%
Credit Investor Angst:
- North American Investment Grade CDS Index 69.02 +.08%
- America Energy Sector High-Yield CDS Index 451.0 +.155%
- European Financial Sector CDS Index 93.71 -2.25%
- Western Europe Sovereign Debt CDS Index 20.47 -.78%
- Asia Pacific Sovereign Debt CDS Index 37.15 -.56%
- Emerging Market CDS Index 248.62 -.8%
- iBoxx Offshore RMB China Corporate High Yield Index 132.99 -.03%
- 2-Year Swap Spread 25.75 +.75 basis point
- TED Spread 49.5 +2.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -54.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.34 -.23%
- 3-Month T-Bill Yield .50% unch.
- Yield Curve 134.0 +1.0 basis point
- China Import Iron Ore Spot $81.49/Metric Tonne -.21%
- Citi US Economic Surprise Index 22.9 -14.1 points
- Citi Eurozone Economic Surprise Index 63.30 -1.1 basis points
- Citi Emerging Markets Economic Surprise Index 5.60 +2.1 points
- 10-Year TIPS Spread 1.89% -3.0 basis points
- 33.1% chance of Fed rate hike at March 15 meeting, 46.4% chance at May 3 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -51 open in Japan
- China A50 Futures: Indicating -20 open in China
- DAX Futures: Indicating -25 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/retail sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
- Market Exposure: Moved to 25% Net Long
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