Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 25.15 +22.29%
- Euro/Yen Carry Return Index 134.19 +.54%
- Emerging Markets Currency Volatility(VXY) 11.67 +3.18%
- S&P 500 Implied Correlation 61.26 +1.96%
- ISE Sentiment Index 60.0 -17.81%
- Total Put/Call 1.33 +31.68%
- NYSE Arms 1.13 -41.52%
Credit Investor Angst:
- North American Investment Grade CDS Index 95.44 +2.75%
- America Energy Sector High-Yield CDS Index 1,597.0 +2.43%
- European Financial Sector CDS Index 79.26 +1.45%
- Western Europe Sovereign Debt CDS Index 17.30 +5.49%
- Asia Pacific Sovereign Debt CDS Index 78.05 +3.45%
- Emerging Market CDS Index 368.10 +2.06%
- iBoxx Offshore RMB China Corporate High Yield Index 123.73 -.14%
- 2-Year Swap Spread 9.5 -.75 basis point
- TED Spread 41.75 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -20.0 +.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 68.08 -.01%
- 3-Month T-Bill Yield .20% unch.
- Yield Curve 120.0 +1.0 basis point
- China Import Iron Ore Spot $42.65/Metric Tonne -.61%
- Citi US Economic Surprise Index -29.8 -.5 point
- Citi Eurozone Economic Surprise Index 28.9 +11.6 points
- Citi Emerging Markets Economic Surprise Index 2.40 -3.5 points
- 10-Year TIPS Spread 1.52% -4.0 basis points
- 35.0% chance of Fed rate hike at March 16 meeting, 42.2% chance at April 27 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -182 open in Japan
- China A50 Futures: Indicating -178 open in China
- DAX Futures: Indicating -117 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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