Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 10.15 -3.06%
- Euro/Yen Carry Return Index 140.58 +.15%
- Emerging Markets Currency Volatility(VXY) 7.82 -.51%
- S&P 500 Implied Correlation 38.48 +.03%
- ISE Sentiment Index 102.0 +18.6%
- Total Put/Call .95 unch.
- NYSE Arms .86 -40.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 49.38 +1.12%
- America Energy Sector High-Yield CDS Index 371.0 -.62%
- European Financial Sector CDS Index 43.55 -.07%
- Western Europe Sovereign Debt CDS Index 3.96 n/a
- Asia Pacific Sovereign Debt CDS Index 13.07 -1.28%
- Emerging Market CDS Index 120.04 -.42%
- iBoxx Offshore RMB China Corporate High Yield Index 145.93 +.15%
- 2-Year Swap Spread 18.0 +.75 basis point
- TED Spread 26.75 +4.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -18.0 +41.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 74.18 +.20%
- 3-Month T-Bill Yield 1.38% -6.0 basis points
- Yield Curve 52.5 +.25 basis point
- China Iron Ore Spot 490.50 CNY/100 Metric Tonnes +.41%
- Citi US Economic Surprise Index 77.10 -1.8 points
- Citi Eurozone Economic Surprise Index 49.80 -.4 basis point
- Citi Emerging Markets Economic Surprise Index -3.30 -1.0 basis point
- 10-Year TIPS Spread 1.97 +2.0 basis points
- 69.0% chance of Fed rate hike at March 21 meeting, 71.0% chance at May 2 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +61 open in Japan
- China A50 Futures: Indicating +65 open in China
- DAX Futures: Indicating +17 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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