Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 10.07 +4.68%
- Euro/Yen Carry Return Index 139.93 -.21%
- Emerging Markets Currency Volatility(VXY) 7.92 -.13%
- S&P 500 Implied Correlation 37.42 +2.99%
- ISE Sentiment Index 45.0 -45.78%
- Total Put/Call .93 +10.7%
- NYSE Arms 1.13 +81.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 49.28 +1.05%
- America Energy Sector High-Yield CDS Index 374.0 +.12%
- European Financial Sector CDS Index 44.13 -1.85%
- Western Europe Sovereign Debt CDS Index 3.96 unch.
- Asia Pacific Sovereign Debt CDS Index 13.12 -1.02%
- Emerging Market CDS Index 120.70 -.16%
- iBoxx Offshore RMB China Corporate High Yield Index 145.87 +.04%
- 2-Year Swap Spread 20.75 unch.
- TED Spread 34.25 +2.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -70.5 -5.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.74 +.02%
- 3-Month T-Bill Yield 1.32% -2.0 basis points
- Yield Curve 59.25 -1.25 basis points
- China Iron Ore Spot 515.0 CNY/100 Metric Tonnes unch.
- Citi US Economic Surprise Index 84.50 +10.6 points
- Citi Eurozone Economic Surprise Index 56.50 +3.3 basis points
- Citi Emerging Markets Economic Surprise Index -.2 +.8 basis point
- 10-Year TIPS Spread 1.95 unch.
- 71.4% chance of Fed rate hike at March 21 meeting, 73.3% chance at May 2 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -2 open in Japan
- China A50 Futures: Indicating +17 open in China
- DAX Futures: Indicating +3 open in Germany
Portfolio:
- Slightly Higher: On gains in my retail/biotech/medical sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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