Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 24.6 +13.8%
- Bloomberg Global Risk On/Risk Off Index 1,289.0 -164.0 points
- Euro/Yen Carry Return Index 130.96 +.01%
- Emerging Markets Currency Volatility(VXY) 10.64 +3.0%
- S&P 500 Implied Correlation 47.7 -.5%
- ISE Sentiment Index 109.0 unch.
- Total Put/Call .75 -1.3%
- NYSE Arms .88 -40.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 55.12 +3.57%
- US Energy High-Yield OAS 573.97 unch.
- European Financial Sector CDS Index 63.41 +8.48%
- Italian/German 10Y Yld Spread 115.0 +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 58.24 +2.74%
- Emerging Market CDS Index 163.09 +4.0%
- iBoxx Offshore RMB China Corporate High Yield Index 183.77 +.22%
- 2-Year Swap Spread 8.5 unch.
- TED Spread 15.5 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -28.25 -3.75 basis points
- MBS 5/10 Treasury Spread 73.5 +.75 basis point
- IHS Markit CMBX BBB- 6 72.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 62.63 -.18%
- 3-Month T-Bill Yield .08% unch.
- Yield Curve 80.75 +.25 basis point
- China Iron Ore Spot 174.0 USD/Metric Tonne +5.1%
- Citi US Economic Surprise Index 66.7 -4.6 points
- Citi Eurozone Economic Surprise Index 201.70 -3.8 points
- Citi Emerging Markets Economic Surprise Index 70.9 +.3 point
- 10-Year TIPS Spread 1.95 -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 -184 open in Japan
- China A50 Futures: Indicating -64 open in China
- DAX Futures: Indicating +105 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/biotech sector longs and index hedges
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
- Market Exposure: 50% Net Long
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