Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 12.4 +.7%
- Euro/Yen Carry Return Index 127.02 -.03%
- Emerging Markets Currency Volatility(VXY) 6.35 -.78%
- S&P 500 Implied Correlation 37.6 -8.7%
- ISE Sentiment Index 88.0 +8
- Total Put/Call .76 -1.3%
- NYSE Arms 1.11 -2.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 44.7 +1.05%
- America Energy Sector High-Yield CDS Index 548.0 +2.6%
- European Financial Sector CDS Index 51.09 +.2%
- Italian/German 10Y Yld Spread 156.75 +3.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 52.77 -1.18%
- Emerging Market CDS Index 181.95 +.67%
- iBoxx Offshore RMB China Corporate High Yield Index 168.82 +.05%
- 2-Year Swap Spread 5.75 -.25 basis point
- TED Spread 29.25 -1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -1.5 +1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.53 -.07%
- 3-Month T-Bill Yield 1.55% +1.0 basis point
- Yield Curve .27 +1.75 basis points
- China Iron Ore Spot 94.17 USD/Metric Tonne -.74%
- Citi US Economic Surprise Index -5.8 -7.8 points
- Citi Eurozone Economic Surprise Index 41.50 -.3 point
- Citi Emerging Markets Economic Surprise Index -2.60 +2.6 basis points
- 10-Year TIPS Spread 1.76 -1.0 basis point
- .7% chance of Fed rate cut at March 18th meeting, 10.5% chance of cut at April 29th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -95 open in Japan
- China A50 Futures: Indicating +5 open in China
- DAX Futures: Indicating -16 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/retail/industrial 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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