Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 17.8 -5.8%
- Euro/Yen Carry Return Index 130.0 +.89%
- Emerging Markets Currency Volatility(VXY) 8.97 -.99%
- S&P 500 Implied Correlation 47.13 +2.48%
- ISE Sentiment Index 158.0 +59.6%
- Total Put/Call .72 -26.5%
- NYSE Arms .91 -20.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 72.42 -2.36%
- America Energy Sector High-Yield CDS Index 727.0 -.57%
- European Financial Sector CDS Index 89.16 -3.64%
- Italian/German 10Y Yld Spread 245.50 -2.5 basis points
- Asia Ex-Japan Investment Grade CDS Index 83.87 -2.14%
- Emerging Market CDS Index 176.25 -1.45%
- iBoxx Offshore RMB China Corporate High Yield Index 155.13 +.08%
- 2-Year Swap Spread 14.50 -.5 basis point
- TED Spread 41.25 +3.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -2.75 -.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 68.17 +.45%
- 3-Month T-Bill Yield 2.37% +1.0 basis point
- Yield Curve 15.5 +.25 basis point
- China Iron Ore Spot 78.03 USD/Metric Tonne +4.89%
- Citi US Economic Surprise Index 2.30 +.5 point
- Citi Eurozone Economic Surprise Index -88.0 -5.0 points
- Citi Emerging Markets Economic Surprise Index -12.4 -.5 point
- 10-Year TIPS Spread 1.79 +1.0 basis point
- 4.3% chance of Fed rate hike at March 20th meeting, 10.2% chance at May 1st meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +76 open in Japan
- China A50 Futures: Indicating +82 open in China
- DAX Futures: Indicating -17 open in Germany
Portfolio:
- Higher: On gains in my tech/retail/industrial/biotech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
- Market Exposure: Moved to 75% Net Long
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