Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 11.8 +3.1%
- Euro/Yen Carry Return Index 141.26 +.06%
- Emerging Markets Currency Volatility(VXY) 8.26 +3.5%
- S&P 500 Implied Correlation 33.72 -.91%
- ISE Sentiment Index 134.0 +42.6%
- Total Put/Call .76 -7.32%
- NYSE Arms 1.23 +101.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 46.39 -.11%
- America Energy Sector High-Yield CDS Index 295.0 -3.29%
- European Financial Sector CDS Index 41.99 -.47%
- Italian/German 10Y Yld Spread 135.25 +3.25 basis points
- Asia Pacific Sovereign Debt CDS Index 10.56 -.24%
- Emerging Market CDS Index 113.96 +.57%
- iBoxx Offshore RMB China Corporate High Yield Index 146.71 -.03%
- 2-Year Swap Spread 18.50 +.5 basis point
- TED Spread 31.5 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -26.5 -2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 76.51 +.19%
- 3-Month T-Bill Yield 1.42% -1.0 basis point
- Yield Curve 54.0 -3.0 basis points
- China Iron Ore Spot 73.15 USD/Metric Tonne -.91%
- Citi US Economic Surprise Index 42.10 -6.6 points
- Citi Eurozone Economic Surprise Index 58.30 +.2 basis point
- Citi Emerging Markets Economic Surprise Index 1.20 -2.7 basis points
- 10-Year TIPS Spread 2.06 -1.0 basis point
- 88.8% chance of Fed rate hike at March 21 meeting, 89.0% chance at May 2 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -54 open in Japan
- China A50 Futures: Indicating -11 open in China
- DAX Futures: Indicating +12 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
- Market Exposure: 75% Net Long
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