Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 18.4 -1.3%
- Euro/Yen Carry Return Index 129.08 +.14%
- Emerging Markets Currency Volatility(VXY) 9.36 -.21%
- S&P 500 Implied Correlation 45.5 -1.79%
- ISE Sentiment Index 95.0 +26.7%
- Total Put/Call 1.16 +14.9%
- NYSE Arms 1.10 -.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 75.73 -2.5%
- America Energy Sector High-Yield CDS Index 734.0 -.76%
- European Financial Sector CDS Index 96.61 -5.5%
- Italian/German 10Y Yld Spread 253.0 -13.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 88.37 -1.07%
- Emerging Market CDS Index 189.38 -2.0%
- iBoxx Offshore RMB China Corporate High Yield Index 153.96 +.38%
- 2-Year Swap Spread 16.0 -.25 basis point
- TED Spread 35.5 -1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -.5 +2.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 68.14 +.40%
- 3-Month T-Bill Yield 2.41% -2.0 basis points
- Yield Curve 18.0 unch.
- China Iron Ore Spot 73.05 USD/Metric Tonne +2.3%
- Citi US Economic Surprise Index -6.0 +1.8 points
- Citi Eurozone Economic Surprise Index -84.5 +1.2 points
- Citi Emerging Markets Economic Surprise Index -17.4 +1.3 points
- 10-Year TIPS Spread 1.82 +2.0 basis point
- 0.0% chance of Fed rate hike at March 20th meeting, 4.1% chance at May 1st meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +123 open in Japan
- China A50 Futures: Indicating +90 open in China
- DAX Futures: Indicating +5 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/medical/retail sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges, then covered some
- Market Exposure: 100% Net Long
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