Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.82 -.25%
- Euro/Yen Carry Return Index 127.88 -.47%
- Emerging Markets Currency Volatility(VXY) 11.34 +2.16%
- S&P 500 Implied Correlation 47.16 +1.25%
- ISE Sentiment Index 104.0 +28.4%
- Total Put/Call 1.15 +32.18%
- NYSE Arms .92 -9.48%
Credit Investor Angst:
- North American Investment Grade CDS Index 64.12 -.11%
- America Energy Sector High-Yield CDS Index 427.0 -.64%
- European Financial Sector CDS Index 87.19 +1.68%
- Western Europe Sovereign Debt CDS Index 20.95 +4.14%
- Asia Pacific Sovereign Debt CDS Index 33.64 -3.80%
- Emerging Market CDS Index 227.50 -2.31%
- iBoxx Offshore RMB China Corporate High Yield Index 132.83 +.03%
- 2-Year Swap Spread 25.75 +1.5 basis points
- TED Spread 48.0 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -45.0 +1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.22 +.66%
- 3-Month T-Bill Yield .52% -1.0 basis point
- Yield Curve 119.0 -3.0 basis points
- China Import Iron Ore Spot $78.93/Metric Tonne +2.17%
- Citi US Economic Surprise Index 28.90 +3.4 points
- Citi Eurozone Economic Surprise Index 59.60 -1.0 basis point
- Citi Emerging Markets Economic Surprise Index 24.0 -1.6 points
- 10-Year TIPS Spread 1.98%-2.0 basis points
- 31.3% chance of Fed rate hike at March 15 meeting, 45.0% chance at May 3 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -31 open in Japan
- China A50 Futures: Indicating +64 open in China
- DAX Futures: Indicating -10 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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