Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 23.0 +6.0%
- Bloomberg Global Risk On/Risk Off Index 1,416.0 -18.0 points
- Euro/Yen Carry Return Index 131.20 unch.
- Emerging Markets Currency Volatility(VXY) 10.6 +1.0%
- S&P 500 Implied Correlation 49.1 +3.9%
- ISE Sentiment Index 100.0 -22.0 points
- Total Put/Call .77 +8.5%
- NYSE Arms .78 -39.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 51.8 -1.3%
- US Energy High-Yield OAS 561.64 -.54%
- European Financial Sector CDS Index 58.16 -.23%
- Italian/German 10Y Yld Spread 113.0 +3.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 57.89 +.18%
- Emerging Market CDS Index 154.20 -.66%
- iBoxx Offshore RMB China Corporate High Yield Index 184.11 -.01%
- 2-Year Swap Spread 8.25 unch.
- TED Spread 16.0 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -13.0 +3.5 basis points
- MBS 5/10 Treasury Spread 72.5 +.5 basis point
- IHS Markit CMBX BBB- 6 72.66 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 62.85 +.28%
- 3-Month T-Bill Yield .09% unch.
- Yield Curve 82.0 unch.
- China Iron Ore Spot 155.56 USD/Metric Tonne -5.71%
- Citi US Economic Surprise Index 47.80 +4.0 points
- Citi Eurozone Economic Surprise Index 191.0 -1.2 points
- Citi Emerging Markets Economic Surprise Index 68.8 +.2 point
- 10-Year TIPS Spread 1.96 -1.0 basis point
- 100.0% chance of no change at March 17th meeting, 100.0% chance of no change at April 28th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -60 open in Japan
- China A50 Futures: Indicating +45 open in China
- DAX Futures: Indicating -71 open in Germany
Portfolio:
- Lower: On losses in my tech/biotech/industril sector longs and emerging markert shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
No comments:
Post a Comment