Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 9.74 -2.89%
- Euro/Yen Carry Return Index 140.38 +.77%
- Emerging Markets Currency Volatility(VXY) 7.65 +1.59%
- S&P 500 Implied Correlation 36.47 -.87%
- ISE Sentiment Index 122.0 +32.61%
- Total Put/Call .71 -20.2%
- NYSE Arms .78 -21.08%
Credit Investor Angst:
- North American Investment Grade CDS Index 49.25 -1.1%
- America Energy Sector High-Yield CDS Index 376.0 -.6%
- European Financial Sector CDS Index 45.44 +.13%
- Western Europe Sovereign Debt CDS Index 3.96 unch.
- Asia Pacific Sovereign Debt CDS Index 13.28 -.08%
- Emerging Market CDS Index 120.50 -1.05%
- iBoxx Offshore RMB China Corporate High Yield Index 145.81 -.1%
- 2-Year Swap Spread 21.25 unch.
- TED Spread 24.5 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -56.0 +3.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.79 +.15%
- 3-Month T-Bill Yield 1.38% +2.0 basis points
- Yield Curve 63.5 +2.25 basis points
- China Iron Ore Spot 510.0 CNY/100 Metric Tonnes -.2%
- Citi US Economic Surprise Index 77.40 -.6 point
- Citi Eurozone Economic Surprise Index 53.80 -5.3 basis points
- Citi Emerging Markets Economic Surprise Index -.1 +.2 basis point
- 10-Year TIPS Spread 1.93 unch.
- 69.0% chance of Fed rate hike at March 21 meeting, 71.0% chance at May 2 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -13 open in Japan
- China A50 Futures: Indicating -20 open in China
- DAX Futures: Indicating -3 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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