Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 21.3 -.9%
- Bloomberg Global Risk On/Risk Off Index 1,478.0 -54.0 points
- Euro/Yen Carry Return Index 131.18 +.62%
- Emerging Markets Currency Volatility(VXY) 10.7 +2.1%
- S&P 500 Implied Correlation 47.6 +.6%
- ISE Sentiment Index 122.0 +14.0 points
- Total Put/Call .66 -19.5%
- NYSE Arms 1.29 -39.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 52.02 -2.93%
- US Energy High-Yield OAS 566.86 -1.18%
- European Financial Sector CDS Index 58.12 -.29%
- Italian/German 10Y Yld Spread 110.0 -3.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 57.78 -.14%
- Emerging Market CDS Index 154.91 -1.85%
- iBoxx Offshore RMB China Corporate High Yield Index 184.13 +.16%
- 2-Year Swap Spread 8.25 -.5 basis point
- TED Spread 16.0 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -16.5 +6.25 basis points
- MBS 5/10 Treasury Spread 73.5 -1.25 basis points
- IHS Markit CMBX BBB- 6 72.66 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 62.68 +.23%
- 3-Month T-Bill Yield .09% +1.0 basis point
- Yield Curve 82.5 unch.
- China Iron Ore Spot 165.66 USD/Metric Tonne +2.11%
- Citi US Economic Surprise Index 43.80 -6.2 points
- Citi Eurozone Economic Surprise Index 192.20 -8.0 points
- Citi Emerging Markets Economic Surprise Index 68.6 -2.0 points
- 10-Year TIPS Spread 1.97 unch.
- 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 +66 open in Japan
- China A50 Futures: Indicating +49 open in China
- DAX Futures: Indicating -21 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/medical/industrial/consumer staple sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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