Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.3 -3.5%
- Euro/Yen Carry Return Index 141.07 +.36%
- Emerging Markets Currency Volatility(VXY) 8.21 -.85%
- S&P 500 Implied Correlation 34.8 -6.6%
- ISE Sentiment Index 100.0 -5.66%
- Total Put/Call .85 -10.5%
- NYSE Arms 1.27 +7.44%
Credit Investor Angst:
- North American Investment Grade CDS Index 47.34 +.55%
- America Energy Sector High-Yield CDS Index 307.0 +1.07%
- European Financial Sector CDS Index 42.25 -.54%
- Italian/German 10Y Yld Spread 133.25 -1.5 basis points
- Asia Pacific Sovereign Debt CDS Index 11.38 +1.56%
- Emerging Market CDS Index 114.65 -1.98%
- iBoxx Offshore RMB China Corporate High Yield Index 146.69 +.05%
- 2-Year Swap Spread 18.75 -.5 basis point
- TED Spread 32.25 -1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -30.75 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 76.22 +.32%
- 3-Month T-Bill Yield 1.46% +4.0 basis points
- Yield Curve 57.25 -2.75 basis points
- China Iron Ore Spot 71.12 USD/Metric Tonne -.36%
- Citi US Economic Surprise Index 38.50 +3.2 points
- Citi Eurozone Economic Surprise Index 35.60 -8.1 basis points
- Citi Emerging Markets Economic Surprise Index -1.5 -4.8 basis points
- 10-Year TIPS Spread 2.11 +1.0 basis point
- 100.0% chance of Fed rate hike at March 21 meeting, 100.0% chance at May 2 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +132 open in Japan
- China A50 Futures: Indicating +25 open in China
- DAX Futures: Indicating -11 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech/retail sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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