Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.48 -3.99%
- Euro/Yen Carry Return Index 127.93 -.35%
- Emerging Markets Currency Volatility(VXY) 11.15 -2.19%
- S&P 500 Implied Correlation 49.33 -3.80%
- ISE Sentiment Index 167.0 +173.77%
- Total Put/Call .97 -7.62%
- NYSE Arms .82 -51.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 66.44 -1.42%
- America Energy Sector High-Yield CDS Index 449.0 -2.04%
- European Financial Sector CDS Index 89.33 -4.40%
- Western Europe Sovereign Debt CDS Index 20.08 -3.69%
- Asia Pacific Sovereign Debt CDS Index 35.70 -1.0%
- Emerging Market CDS Index 239.19 -1.18%
- iBoxx Offshore RMB China Corporate High Yield Index 132.95 -.23%
- 2-Year Swap Spread 25.0 -1.0 basis point
- TED Spread 50.0 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -50.0 +6.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.49 -.16%
- 3-Month T-Bill Yield .50% unch.
- Yield Curve 123.0 -3.0 basis points
- China Import Iron Ore Spot $77.91/Metric Tonne -1.22%
- Citi US Economic Surprise Index 24.70 +1.4 points
- Citi Eurozone Economic Surprise Index 50.40 -2.7 basis points
- Citi Emerging Markets Economic Surprise Index 25.70 +7.6 points
- 10-Year TIPS Spread 2.00% +3.0 basis points
- 36.6% chance of Fed rate hike at March 15 meeting, 47.8% chance at May 3 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +116 open in Japan
- China A50 Futures: Indicating +29 open in China
- DAX Futures: Indicating -31 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/biotech 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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