Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 9.98 -.99%
- Euro/Yen Carry Return Index 138.78 -.96%
- Emerging Markets Currency Volatility(VXY) 7.56 +.27%
- S&P 500 Implied Correlation 33.53 -4.0%
- ISE Sentiment Index 96.0 -9.4%
- Total Put/Call .63 -21.3%
- NYSE Arms .52 -39.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 46.41 +.42%
- America Energy Sector High-Yield CDS Index 339.0 -.70%
- European Financial Sector CDS Index 44.0 +1.44%
- Italian/German 10Y Yld Spread 149.50 -7.5 basis points
- Asia Pacific Sovereign Debt CDS Index 10.4 +6.72%
- Emerging Market CDS Index 113.76 +2.01%
- iBoxx Offshore RMB China Corporate High Yield Index 146.57 +.02%
- 2-Year Swap Spread 19.50 unch.
- TED Spread 27.25 -1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -25.0 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 74.76 -.03%
- 3-Month T-Bill Yield 1.42% -1.0 basis point
- Yield Curve 57.75 -.5 basis point
- China Iron Ore Spot 520.0 CNY/100 Metric Tonnes unch.
- Citi US Economic Surprise Index 66.50 -.5 point
- Citi Eurozone Economic Surprise Index 58.30 -.5 basis point
- Citi Emerging Markets Economic Surprise Index 0.0 unch.
- 10-Year TIPS Spread 2.04 unch.
- 80.3% chance of Fed rate hike at March 21 meeting, 80.7% chance at May 2 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -163 open in Japan
- China A50 Futures: Indicating -9 open in China
- DAX Futures: Indicating -33 open in Germany
Portfolio:
- Slightly Higher: On gains in my medical/biotech/retail sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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