Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 18.55 -4.9%
- Euro/Yen Carry Return Index 129.30 -.25%
- Emerging Markets Currency Volatility(VXY) 9.56 +.1%
- S&P 500 Implied Correlation 47.39 -1.4%
- ISE Sentiment Index 121.0 +42.4%
- Total Put/Call 1.13 unch.
- NYSE Arms .79 -34.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 77.77 +.18%
- America Energy Sector High-Yield CDS Index 713.0 +2.68%
- European Financial Sector CDS Index 104.59 -2.45%
- Italian/German 10Y Yld Spread 261.5 -1.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 89.37 -1.27%
- Emerging Market CDS Index 195.69 +2.01%
- iBoxx Offshore RMB China Corporate High Yield Index 153.52 +.37%
- 2-Year Swap Spread 15.75 +1.0 basis point
- TED Spread 37.75 +3.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap .25 -2.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.94 -.10%
- 3-Month T-Bill Yield 2.41% -1.0 basis point
- Yield Curve 15.75 -1.0 basis point
- China Iron Ore Spot 72.29 USD/Metric Tonne -.33%
- Citi US Economic Surprise Index -6.10 +.5 point
- Citi Eurozone Economic Surprise Index -88.6 -1.8 points
- Citi Emerging Markets Economic Surprise Index -20.3 -6.8 points
- 10-Year TIPS Spread 1.82 +1.0 basis points
- .5% chance of Fed rate hike at March 20th meeting, 10.8% chance at May 1st meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -69 open in Japan
- China A50 Futures: Indicating +12 open in China
- DAX Futures: Indicating -6 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/retail sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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