Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.1 +18.7%
- Euro/Yen Carry Return Index 141.05 -.15%
- Emerging Markets Currency Volatility(VXY) 7.76 +1.31%
- S&P 500 Implied Correlation 34.78 +5.8%
- ISE Sentiment Index 107.0 +10.3%
- Total Put/Call .68 -8.11%
- NYSE Arms 1.25 +.92%
Credit Investor Angst:
- North American Investment Grade CDS Index 48.19 +2.79%
- America Energy Sector High-Yield CDS Index 318.0 -.09%
- European Financial Sector CDS Index 42.68 -1.04%
- Italian/German 10Y Yld Spread 140.75 +.5 basis point
- Asia Pacific Sovereign Debt CDS Index 9.89 +.61%
- Emerging Market CDS Index 110.34 +.78%
- iBoxx Offshore RMB China Corporate High Yield Index 146.78 +.13%
- 2-Year Swap Spread 20.0 +.75 basis point
- TED Spread 27.25 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -23.75 -.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 75.55 -.15%
- 3-Month T-Bill Yield 1.42% -2.0 basis points
- Yield Curve 52.75 -2.25 basis points
- China Iron Ore Spot 506.50 CNY/100 Metric Tonnes +.40%
- Citi US Economic Surprise Index 65.60 -4.8 points
- Citi Eurozone Economic Surprise Index 56.60 -1.7 basis points
- Citi Emerging Markets Economic Surprise Index 5.1 -1.3 basis points
- 10-Year TIPS Spread 2.04 +2.0 basis points
- 88.2% chance of Fed rate hike at March 21 meeting, 88.7% chance at May 2 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -251 open in Japan
- China A50 Futures: Indicating +35 open in China
- DAX Futures: Indicating -98 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech/retail sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved 75% Net Long
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