Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.28 -3.34%
- Euro/Yen Carry Return Index 128.76 +.75%
- Emerging Markets Currency Volatility(VXY) 11.10 -1.94%
- S&P 500 Implied Correlation 45.96 -1.67%
- ISE Sentiment Index 60.0 -37.50%
- Total Put/Call .89 -22.61%
- NYSE Arms 1.17 +15.04%
Credit Investor Angst:
- North American Investment Grade CDS Index 64.07 +.26%
- America Energy Sector High-Yield CDS Index 422.0 -.69%
- European Financial Sector CDS Index 87.50 +.36%
- Western Europe Sovereign Debt CDS Index 20.65 -1.45%
- Asia Pacific Sovereign Debt CDS Index 33.73 +1.32%
- Emerging Market CDS Index 229.22 +.83%
- iBoxx Offshore RMB China Corporate High Yield Index 132.90 +.05%
- 2-Year Swap Spread 27.0 +1.25 basis points
- TED Spread 49.75 +1.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -46.75 -1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.98 -.41%
- 3-Month T-Bill Yield .51% -1.0 basis point
- Yield Curve 120.0 -1.0 basis point
- China Import Iron Ore Spot $76.25/Metric Tonne -3.4%
- Citi US Economic Surprise Index 27.0 -1.9 points
- Citi Eurozone Economic Surprise Index 71.10 +10.5 basis point
- Citi Emerging Markets Economic Surprise Index 26.0 +2.0 points
- 10-Year TIPS Spread 1.98% unch.
- 34.8% chance of Fed rate hike at March 15 meeting, 47.8% chance at May 3 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +186 open in Japan
- China A50 Futures: Indicating +44 open in China
- DAX Futures: Indicating +11 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/medical sector longs and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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