Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Slightly Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.69 +1.12%
- Euro/Yen Carry Return Index 127.69 -.37%
- Emerging Markets Currency Volatility(VXY) 11.07 +.18%
- S&P 500 Implied Correlation 47.56 +.49%
- ISE Sentiment Index 100.0 unch.
- Total Put/Call .87 -12.12%
- NYSE Arms 1.06 -28.94%
Credit Investor Angst:
- North American Investment Grade CDS Index 65.55 +.76%
- America Energy Sector High-Yield CDS Index 422.0 +1.15%
- European Financial Sector CDS Index 88.03 +.97%
- Western Europe Sovereign Debt CDS Index 19.99 -1.48%
- Asia Pacific Sovereign Debt CDS Index 34.12 -.79%
- Emerging Market CDS Index 238.91 +1.66%
- iBoxx Offshore RMB China Corporate High Yield Index 132.67 unch.
- 2-Year Swap Spread 28.25 +.25 basis point
- TED Spread 50.25 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -42.5 +2.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.63 -.31%
- 3-Month T-Bill Yield .51% +1.0 basis point
- Yield Curve 119.0 unch.
- China Import Iron Ore Spot $79.43/Metric Tonne +2.19%
- Citi US Economic Surprise Index 39.30 +10.8 points
- Citi Eurozone Economic Surprise Index 71.80 +.8 basis point
- Citi Emerging Markets Economic Surprise Index 28.70 +2.0 points
- 10-Year TIPS Spread 1.98 +1.0 basis point
- 33.1% chance of Fed rate hike at March 15 meeting, 46.4% chance at May 3 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +97 open in Japan
- China A50 Futures: Indicating +77 open in China
- DAX Futures: Indicating -10 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/medical/retail sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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