Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 23.6 -1.9%
- Bloomberg Global Risk On/Risk Off Index 2,022.0 +118.0 points
- Euro/Yen Carry Return Index 131.06 -.01%
- Emerging Markets Currency Volatility(VXY) 10.6 -1.1%
- S&P 500 Implied Correlation 49.6 +2.5%
- ISE Sentiment Index 97.0 -3.0 points
- Total Put/Call .70 -11.4%
- NYSE Arms .60 -3.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 51.78 +1.23%
- US Energy High-Yield OAS 509.53 -.01%
- European Financial Sector CDS Index 61.55 +2.8%
- Italian/German 10Y Yld Spread 112.0 +6.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 61.52 +3.3%
- Emerging Market CDS Index 165.87 +1.7%
- iBoxx Offshore RMB China Corporate High Yield Index 185.12 +.13%
- 2-Year Swap Spread 7.75 +.5 basis point
- TED Spread 14.5 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -2.25 +2.5 basis points
- MBS 5/10 Treasury Spread 71.0 +1.25 basis points
- IHS Markit CMBX BBB- 6 72.75 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 62.55 +.80%
- 3-Month T-Bill Yield .08% unch.
- Yield Curve 100.0 unch.
- China Iron Ore Spot 166.14 USD/Metric Tonne -.69%
- Citi US Economic Surprise Index 56.30 -2.4 points
- Citi Eurozone Economic Surprise Index 165.10 -2.1 points
- Citi Emerging Markets Economic Surprise Index 63.0 -2.7 points
- 10-Year TIPS Spread 2.08 +2.0 basis points
- 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 -4 open in Japan
- China A50 Futures: Indicating +12 open in China
- DAX Futures: Indicating -39 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/medical sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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