Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 15.4 +19.0%
- Euro/Yen Carry Return Index 125.07 -.47%
- Emerging Markets Currency Volatility(VXY) 6.08 +.33%
- S&P 500 Implied Correlation 42.02 +9.5%
- ISE Sentiment Index 67.0 -37
- Total Put/Call 1.0 +29.9%
- NYSE Arms 2.21 97.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 47.0 +2.71%
- America Energy Sector High-Yield CDS Index 608.0 +3.53%
- European Financial Sector CDS Index 53.60 +1.02%
- Italian/German 10Y Yld Spread 156.75 +.5 basis point
- Asia Ex-Japan Investment Grade CDS Index 53.64 +.81%
- Emerging Market CDS Index 193.29 +2.50%
- iBoxx Offshore RMB China Corporate High Yield Index 169.65 +.02%
- 2-Year Swap Spread 5.75 -.75 basis point
- TED Spread 27.0 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -4.75-.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.0 -.12%
- 3-Month T-Bill Yield 1.53%-2.0 basis points
- Yield Curve .23 -1.0 basis point
- China Iron Ore Spot 89.70 USD/Metric Tonne -1.46%
- Citi US Economic Surprise Index 9.0 -1.2 points
- Citi Eurozone Economic Surprise Index 50.80 +8.0 points
- Citi Emerging Markets Economic Surprise Index 9.3 +.2 basis point
- 10-Year TIPS Spread 1.67 -5.0 basis points
- 4.6% chance of Fed rate cut at March 18th meeting, 13.6% chance of cut at April 29th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -257 open in Japan
- China A50 Futures: Indicating -151 open in China
- DAX Futures: Indicating -70 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail/tech/medical/industrial/biotech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: 50% Net Long
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