Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 9.57 -1.54%
- Euro/Yen Carry Return Index 140.22 -.05%
- Emerging Markets Currency Volatility(VXY) 7.93 +2.85%
- S&P 500 Implied Correlation 36.62 +1.52%
- ISE Sentiment Index 74.0 -32.11%
- Total Put/Call .83 +3.75%
- NYSE Arms .59 -30.40%
Credit Investor Angst:
- North American Investment Grade CDS Index 48.57 -1.48%
- America Energy Sector High-Yield CDS Index 374.0 -.41%
- European Financial Sector CDS Index 44.86 -1.13%
- Western Europe Sovereign Debt CDS Index 3.96 unch.
- Asia Pacific Sovereign Debt CDS Index 13.25 -.23%
- Emerging Market CDS Index 121.01 +.39%
- iBoxx Offshore RMB China Corporate High Yield Index 145.81 unch.
- 2-Year Swap Spread 20.75 -.5 basis point
- TED Spread 31.5 +7.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -65.25 -9.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.72 -.08%
- 3-Month T-Bill Yield 1.34% -4.0 basis points
- Yield Curve 60.5 -3.0 basis points
- China Iron Ore Spot 515.0 CNY/100 Metric Tonnes -.39%
- Citi US Economic Surprise Index 73.90 -4.5 points
- Citi Eurozone Economic Surprise Index 53.20 -.6 basis point
- Citi Emerging Markets Economic Surprise Index .6 +.7 basis point
- 10-Year TIPS Spread 1.95 +2.0 basis points
- 69.0% chance of Fed rate hike at March 21 meeting, 71.7% chance at May 2 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +30 open in Japan
- China A50 Futures: Indicating +46 open in China
- DAX Futures: Indicating -19 open in Germany
Portfolio:
- Slightly Higher: On gains in my retail/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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