Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 21.7 -6.6%
- Bloomberg Global Risk On/Risk Off Index 2,076.0 +73.0 points
- Euro/Yen Carry Return Index 129.87 -.49%
- Emerging Markets Currency Volatility(VXY) 10.2 -.49%
- S&P 500 Implied Correlation 48.8 -5.4%
- ISE Sentiment Index 133.0 +33.0 points
- Total Put/Call .70 -1.4%
- NYSE Arms 1.55 +31.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 49.92-1.23%
- US Energy High-Yield OAS 489.94 -.67%
- European Financial Sector CDS Index 59.61 -3.06%
- Italian/German 10Y Yld Spread 115.0 +4.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 61.92 -.92%
- Emerging Market CDS Index 166.41 -1.54%
- iBoxx Offshore RMB China Corporate High Yield Index 185.22 +.13%
- 2-Year Swap Spread 7.75 +.5 basis point
- TED Spread 14.75 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -5.0 -1.25 basis points
- MBS 5/10 Treasury Spread 69.0 -2.75 basis points
- IHS Markit CMBX BBB- 6 73.25 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 62.67 +.40%
- 3-Month T-Bill Yield .08% unch.
- Yield Curve 96.0 -1.25 basis points
- China Iron Ore Spot 164.85 USD/Metric Tonne -.67%
- Citi US Economic Surprise Index 49.90 -2.5 points
- Citi Eurozone Economic Surprise Index 143.60 -5.0 points
- Citi Emerging Markets Economic Surprise Index 60.70 -2.5 points
- 10-Year TIPS Spread 2.12 +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 +146 open in Japan
- China A50 Futures: Indicating -10 open in China
- DAX Futures: Indicating +16 open in Germany
Portfolio:
- Higher: On gains in my tech/industrial/medical/biotech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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