Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.55 -.94%
- Euro/Yen Carry Return Index 141.50 +.28%
- Emerging Markets Currency Volatility(VXY) 7.89 +1.15%
- S&P 500 Implied Correlation 32.92 -1.11%
- ISE Sentiment Index 85.0 -15.84%
- Total Put/Call .81 +16.37%
- NYSE Arms .98 -.56%
Credit Investor Angst:
- North American Investment Grade CDS Index 47.77 +.18%
- America Energy Sector High-Yield CDS Index 320.0 +.15%
- European Financial Sector CDS Index 43.09 +1.0%
- Italian/German 10Y Yld Spread 143.75 +3.0 basis points
- Asia Pacific Sovereign Debt CDS Index 10.37 +4.54%
- Emerging Market CDS Index 110.29 +.12%
- iBoxx Offshore RMB China Corporate High Yield Index 146.78 unch.
- 2-Year Swap Spread 20.0 unch.
- TED Spread 29.75 +2.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -25.5 -1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 75.48 -.07%
- 3-Month T-Bill Yield 1.44% +2.0 basis points
- Yield Curve 53.25 +.5 basis point
- China Iron Ore Spot 516.0 CNY/100 Metric Tonnes +2.18%
- Citi US Economic Surprise Index 70.0 +4.4 points
- Citi Eurozone Economic Surprise Index 56.0 -.6 basis point
- Citi Emerging Markets Economic Surprise Index 5.3 +.2 basis point
- 10-Year TIPS Spread 2.06 +2.0 basis points
- 86.9% chance of Fed rate hike at March 21 meeting, 87.2% chance at May 2 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +132 open in Japan
- China A50 Futures: Indicating +92 open in China
- DAX Futures: Indicating +53 open in Germany
Portfolio:
- Higher: On gains in my biotech/retail/tech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved 100% Net Long
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