Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.07 +4.59%
- Euro/Yen Carry Return Index 126.85 -.98%
- Emerging Markets Currency Volatility(VXY) 10.94 -.73%
- S&P 500 Implied Correlation 48.03 -4.39%
- ISE Sentiment Index 75.0 -2.6%
- Total Put/Call .99 unch.
- NYSE Arms 1.58 +99.29%
Credit Investor Angst:
- North American Investment Grade CDS Index 66.61 +1.14%
- America Energy Sector High-Yield CDS Index 472.0 +9.99%
- European Financial Sector CDS Index 87.14 +1.44%
- Western Europe Sovereign Debt CDS Index 18.82 -8.37%
- Asia Pacific Sovereign Debt CDS Index 33.94 -1.32%
- Emerging Market CDS Index 237.52 -.40%
- iBoxx Offshore RMB China Corporate High Yield Index 133.21 +.11%
- 2-Year Swap Spread 33.25 +.75 basis point
- TED Spread 55.0 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -40.0 +.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.49 +.32%
- 3-Month T-Bill Yield .48% -1.0 basis point
- Yield Curve 126.0 -2.0 basis points
- China Import Iron Ore Spot $81.13/Metric Tonne +.90%
- Citi US Economic Surprise Index 34.20 -1.4 points
- Citi Eurozone Economic Surprise Index 57.90 -5.6 basis points
- Citi Emerging Markets Economic Surprise Index 37.30 -1.2 points
- 10-Year TIPS Spread 2.02 -2.0 basis points
- 29.6% chance of Fed rate hike at March 15 meeting, 45.2% chance at May 3 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +7 open in Japan
- China A50 Futures: Indicating +26 open in China
- DAX Futures: Indicating +13 open in Germany
Portfolio:
- Lower: On losses in my in my retail/biotech sector longs and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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