Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Slightly Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.48 -.09%
- Euro/Yen Carry Return Index 127.50 -.12%
- Emerging Markets Currency Volatility(VXY) 11.47 +3.61%
- S&P 500 Implied Correlation 46.11 +1.52%
- ISE Sentiment Index 90.0 -4.26%
- Total Put/Call .84 -7.69%
- NYSE Arms 1.32 +12.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 66.12 +.52%
- America Energy Sector High-Yield CDS Index 424.0 +.78%
- European Financial Sector CDS Index 89.23 +1.37%
- Western Europe Sovereign Debt CDS Index 19.44 -2.70%
- Asia Pacific Sovereign Debt CDS Index 34.70 +1.73%
- Emerging Market CDS Index 241.61 +.09%
- iBoxx Offshore RMB China Corporate High Yield Index 132.76 +.06%
- 2-Year Swap Spread 28.75 +.5 basis point
- TED Spread 51.0 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -42.0 +.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.52 -.13%
- 3-Month T-Bill Yield .51% unch.
- Yield Curve 118.0 -1.0 basis point
- China Import Iron Ore Spot $80.41/Metric Tonne +1.23%
- Citi US Economic Surprise Index 39.80 +.5 point
- Citi Eurozone Economic Surprise Index 71.10 -.7 basis point
- Citi Emerging Markets Economic Surprise Index 30.80 +2.1 points
- 10-Year TIPS Spread 2.0 +2.0 basis points
- 31.50% chance of Fed rate hike at March 15 meeting, 43.7% chance at May 3 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +21 open in Japan
- China A50 Futures: Indicating +36 open in China
- DAX Futures: Indicating +4 open in Germany
Portfolio:
- Slightly Lower: On losses in my in my biotech sector longs and emerging markets shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my (EEM) short
- Market Exposure: Moved to 75% Net Long
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