Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.52 +2.31%
- Euro/Yen Carry Return Index 127.12 -.32%
- Emerging Markets Currency Volatility(VXY) 11.42 unch.
- S&P 500 Implied Correlation 46.50 +.98%
- ISE Sentiment Index 67.0 -25.56%
- Total Put/Call 1.03 +22.62%
- NYSE Arms 1.14 -12.51%
Credit Investor Angst:
- North American Investment Grade CDS Index 66.12 +.83%
- America Energy Sector High-Yield CDS Index 426.0 +.21%
- European Financial Sector CDS Index 90.16 +1.04%
- Western Europe Sovereign Debt CDS Index 19.49 +.21%
- Asia Pacific Sovereign Debt CDS Index 34.03 -1.10%
- Emerging Market CDS Index 237.02 -.46%
- iBoxx Offshore RMB China Corporate High Yield Index 132.82 +.05%
- 2-Year Swap Spread 29.25 +.5 basis point
- TED Spread 51.50 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -42.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.11 +.78%
- 3-Month T-Bill Yield .51% unch.
- Yield Curve 118.0 unch.
- China Import Iron Ore Spot $80.99/Metric Tonne +.72%
- Citi US Economic Surprise Index 41.50 +1.7 points
- Citi Eurozone Economic Surprise Index 75.60 +4.5 basis points
- Citi Emerging Markets Economic Surprise Index 37.80 +7.0 points
- 10-Year TIPS Spread 2.0 unch.
- 27.8% chance of Fed rate hike at March 15 meeting, 40.6% chance at May 3 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +90 open in Japan
- China A50 Futures: Indicating +45 open in China
- DAX Futures: Indicating +40 open in Germany
Portfolio:
- Slightly Lower: On losses in my in my retail/tech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
No comments:
Post a Comment