Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 9.89 -10.42%
- Euro/Yen Carry Return Index 141.1 +.08%
- Emerging Markets Currency Volatility(VXY) 7.96 +.89%
- S&P 500 Implied Correlation 36.23 -10.6%
- ISE Sentiment Index 99.0 +26.9%
- Total Put/Call .85 -22.0%
- NYSE Arms .50 -66.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 48.53 -1.15%
- America Energy Sector High-Yield CDS Index 375.0 +2.11%
- European Financial Sector CDS Index 44.38 +1.16%
- Western Europe Sovereign Debt CDS Index 3.96 n/a
- Asia Pacific Sovereign Debt CDS Index 12.75 -1.32%
- Emerging Market CDS Index 116.91 -2.16%
- iBoxx Offshore RMB China Corporate High Yield Index 146.17 +.08%
- 2-Year Swap Spread 18.0 -.5 basis point
- TED Spread 27.25 -4.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -18.0 +2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 74.76 +.68%
- 3-Month T-Bill Yield 1.40% +2.0 basis points
- Yield Curve 53.75 +1.75 basis points
- China Iron Ore Spot 490.50 CNY/100 Metric Tonnes n/a
- Citi US Economic Surprise Index 71.90 -3.8 points
- Citi Eurozone Economic Surprise Index 45.80 -3.5 basis points
- Citi Emerging Markets Economic Surprise Index -2.60 +.7 point
- 10-Year TIPS Spread 2.01 +3.0 basis points
- 72.5% chance of Fed rate hike at March 21 meeting, 74.2% chance at May 2 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +40 open in Japan
- China A50 Futures: Indicating +60 open in China
- DAX Futures: Indicating +5 open in Germany
Portfolio:
- Higher: On gains in my medical/biotech/tech/retail sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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