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) 9.97 +4.6%
- Euro/Yen Carry Return Index 139.46 +.91%
- Emerging Markets Currency Volatility(VXY) 7.52 +1.21%
- S&P 500 Implied Correlation 36.78 +1.21%
- ISE Sentiment Index 114.0 -16.18%
- Total Put/Call .85 +25.0%
- NYSE Arms .72 +1.42%
Credit Investor Angst:
- North American Investment Grade CDS Index 49.62 -.28%
- America Energy Sector High-Yield CDS Index 378.0 -.49%
- European Financial Sector CDS Index 45.66 -1.15%
- Western Europe Sovereign Debt CDS Index 3.96 +13.9%
- Asia Pacific Sovereign Debt CDS Index 13.50 -1.52%
- Emerging Market CDS Index 121.49 -.25%
- iBoxx Offshore RMB China Corporate High Yield Index 145.95 +.1%
- 2-Year Swap Spread 21.25 +1.25 basis points
- TED Spread 24.75 -3.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -59.75 +27.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.69 +.11%
- 3-Month T-Bill Yield 1.36% +2.0 basis points
- Yield Curve 61.25 +4.75 basis points
- China Iron Ore Spot 510.0 CNY/100 Metric Tonnes -1.35%
- Citi US Economic Surprise Index 78.0 +4.1 points
- Citi Eurozone Economic Surprise Index 59.10 -4.3 basis points
- Citi Emerging Markets Economic Surprise Index -.3 unch.
- 10-Year TIPS Spread 1.93 +2.0 basis points
- 72.5% chance of Fed rate hike at March 21 meeting, 74.2% chance at May 2 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -28 open in Japan
- China A50 Futures: Indicating -6 open in China
- DAX Futures: Indicating +11 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail/tech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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