Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.1 +1.8%
- Euro/Yen Carry Return Index 125.63 -.66%
- Emerging Markets Currency Volatility(VXY) 6.06 +.66%
- S&P 500 Implied Correlation 39.24 -1.8%
- ISE Sentiment Index 104.0 -22
- Total Put/Call .76 -9.5%
- NYSE Arms 1.16 -16.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 45.72 +1.14%
- America Energy Sector High-Yield CDS Index 588.0 +2.49%
- European Financial Sector CDS Index 53.06 +.96%
- Italian/German 10Y Yld Spread 156.25 -4.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 53.17 +2.24%
- Emerging Market CDS Index 188.48 +1.19%
- iBoxx Offshore RMB China Corporate High Yield Index 169.61 +.07%
- 2-Year Swap Spread 6.5 -.5 basis point
- TED Spread 26.5 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -4.5 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.10 -.24%
- 3-Month T-Bill Yield 1.55% unch.
- Yield Curve .24 -1.0 basis point
- China Iron Ore Spot 90.60 USD/Metric Tonne -2.22%
- Citi US Economic Surprise Index 10.2 +.5 point
- Citi Eurozone Economic Surprise Index 42.80 -.8 point
- Citi Emerging Markets Economic Surprise Index 9.1 +.1 basis point
- 10-Year TIPS Spread 1.72 unch.
- 3.7% chance of Fed rate cut at March 18th meeting, 10.3% chance of cut at April 29th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +15 open in Japan
- China A50 Futures: Indicating +14 open in China
- DAX Futures: Indicating +61 open in Germany
Portfolio:
- Slightly Higher: On gains in my retail/tech sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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