Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 12.76 +5.5%
- Euro/Yen Carry Return Index 126.40 -.37%
- Emerging Markets Currency Volatility(VXY) 6.05 +1.85%
- S&P 500 Implied Correlation 40.0 +3.8%
- ISE Sentiment Index 57.0 -42
- Total Put/Call .83 +25.8%
- NYSE Arms 1.14 +.88%
Credit Investor Angst:
- North American Investment Grade CDS Index 44.84 +1.94%
- America Energy Sector High-Yield CDS Index 563.0 +1.35%
- European Financial Sector CDS Index 52.43 +1.59%
- Italian/German 10Y Yld Spread 162.0 +3.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 51.69 +2.12%
- Emerging Market CDS Index 184.30 +3.21%
- iBoxx Offshore RMB China Corporate High Yield Index 169.37 +.07%
- 2-Year Swap Spread 7.5 -.75 basis point
- TED Spread 26.75 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -3.35 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.13 -.25%
- 3-Month T-Bill Yield 1.53% +3.0 basis points
- Yield Curve .25 -2.0 basis points
- China Iron Ore Spot 93.11 USD/Metric Tonne -.27%
- Citi US Economic Surprise Index 10.2 -.2 point
- Citi Eurozone Economic Surprise Index 45.10 +5.4 points
- Citi Emerging Markets Economic Surprise Index 5.2 +3.0 basis points
- 10-Year TIPS Spread 1.74 -1.0 basis point
- 1.6% chance of Fed rate cut at March 18th meeting, 10.3% chance of cut at April 29th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -80 open in Japan
- China A50 Futures: Indicating -115 open in China
- DAX Futures: Indicating -42 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech/retail sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 75% Net Long
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