Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.32 -1.14%
- Euro/Yen Carry Return Index 128.07 +.17%
- Emerging Markets Currency Volatility(VXY) 11.20 -.97%
- S&P 500 Implied Correlation 49.57 -8.05%
- ISE Sentiment Index 81.0 -29.0%
- Total Put/Call .86 -7.5%
- NYSE Arms 1.49 +88.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 66.59 -.67%
- America Energy Sector High-Yield CDS Index 491.0 +8.58%
- European Financial Sector CDS Index 93.85 +.39%
- Western Europe Sovereign Debt CDS Index 20.37 +.64%
- Asia Pacific Sovereign Debt CDS Index 37.34 -.77%
- Emerging Market CDS Index 241.57 -.38%
- iBoxx Offshore RMB China Corporate High Yield Index 133.11 +.06%
- 2-Year Swap Spread 28.5 +1.5 basis points
- TED Spread 47.75 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -57.0 +1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.54 +.21%
- 3-Month T-Bill Yield .51% unch.
- Yield Curve 134.0 +1.0 basis point
- China Import Iron Ore Spot $79.19/Metric Tonne -.54%
- Citi US Economic Surprise Index 22.8 +.5 point
- Citi Eurozone Economic Surprise Index 56.70 -2.1 basis points
- Citi Emerging Markets Economic Surprise Index 7.70 +.8 point
- 10-Year TIPS Spread 1.93% unch.
- 33.1% chance of Fed rate hike at March 15 meeting, 42.0% chance at May 3 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +28 open in Japan
- China A50 Futures: Indicating -21 open in China
- DAX Futures: Indicating -1 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
No comments:
Post a Comment