Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 26.60 -3.55%
- Euro/Yen Carry Return Index 133.50 +.27%
- Emerging Markets Currency Volatility(VXY) 12.44 +1.14%
- S&P 500 Implied Correlation 64.57 +3.87%
- ISE Sentiment Index 124.0 +175.56%
- Total Put/Call 1.04 -11.86%
- NYSE Arms .83 -32.89%
Credit Investor Angst:
- North American Investment Grade CDS Index 110.02 -1.59%
- America Energy Sector High-Yield CDS Index 1,861.0 +.40%
- European Financial Sector CDS Index 91.0 -4.86%
- Western Europe Sovereign Debt CDS Index 21.80 +14.04%
- Asia Pacific Sovereign Debt CDS Index 77.05 -4.17%
- Emerging Market CDS Index 389.61 -1.35%
- iBoxx Offshore RMB China Corporate High Yield Index 121.98 -.22%
- 2-Year Swap Spread 6.5 +.25 basis point
- TED Spread 36.50 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -23.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.61 +.02%
- 3-Month T-Bill Yield .28% +2.0 basis points
- Yield Curve 119.0 +3.0 basis points
- China Import Iron Ore Spot $41.29/Metric Tonne -.77%
- Citi US Economic Surprise Index -45.7 -.6 point
- Citi Eurozone Economic Surprise Index 12.10 -.7 point
- Citi Emerging Markets Economic Surprise Index -7.90 +1.5 points
- 10-Year TIPS Spread 1.33% unch.
- 22.1% chance of Fed rate hike at March 16 meeting, 26.4% chance at April 27 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +367 open in Japan
- China A50 Futures: Indicating +36 open in China
- DAX Futures: Indicating -30 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/retail sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
- Market Exposure: 50% Net Long
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