Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.9 +7.4%
- Euro/Yen Carry Return Index 140.58 +.04%
- Emerging Markets Currency Volatility(VXY) 8.31 +.61%
- S&P 500 Implied Correlation 35.27 +6.5%
- ISE Sentiment Index 106.0 +16.5%
- Total Put/Call .94 +30.6%
- NYSE Arms 1.18 +70.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 47.30 +2.24%
- America Energy Sector High-Yield CDS Index 303.0 +2.71%
- European Financial Sector CDS Index 42.63 +3.07%
- Italian/German 10Y Yld Spread 134.75 +1.5 basis points
- Asia Pacific Sovereign Debt CDS Index 11.20 +4.87%
- Emerging Market CDS Index 117.26 +1.01%
- iBoxx Offshore RMB China Corporate High Yield Index 146.61 +.06%
- 2-Year Swap Spread 19.25 -.25 basis point
- TED Spread 34.0 -1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -30.50 -1.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 75.96 -.25%
- 3-Month T-Bill Yield 1.42% +2.0 basis points
- Yield Curve 60.0 +2.25 basis points
- China Iron Ore Spot 71.75 USD/Metric Tonne -.14%
- Citi US Economic Surprise Index 35.30 -.2 point
- Citi Eurozone Economic Surprise Index 43.70 -11.8 basis points
- Citi Emerging Markets Economic Surprise Index 3.3 +1.8 basis points
- 10-Year TIPS Spread 2.10 +1.0 basis point
- 88.8% chance of Fed rate hike at March 21 meeting, 89.3% chance at May 2 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -61 open in Japan
- China A50 Futures: Indicating +15 open in China
- DAX Futures: Indicating +1 open in Germany
Portfolio:
- Lower: On losses in my biotech/retail/tech sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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