Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Slightly Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 12.12 +7.93%
- Euro/Yen Carry Return Index 126.01 -.34%
- Emerging Markets Currency Volatility(VXY) 10.95 -.90%
- S&P 500 Implied Correlation 48.04 +1.09%
- ISE Sentiment Index 75.0 -20.21%
- Total Put/Call .93 +2.2%
- NYSE Arms .95 -31.63%
Credit Investor Angst:
- North American Investment Grade CDS Index 66.71 +1.31%
- America Energy Sector High-Yield CDS Index 433.0 -.06%
- European Financial Sector CDS Index 87.06 -.37%
- Western Europe Sovereign Debt CDS Index 20.71 +.88%
- Asia Pacific Sovereign Debt CDS Index 34.41 -.55%
- Emerging Market CDS Index 233.95 -1.02%
- iBoxx Offshore RMB China Corporate High Yield Index 132.70 -.11%
- 2-Year Swap Spread 29.5 +.25 basis point
- TED Spread 50.0 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -42.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.32 +.82%
- 3-Month T-Bill Yield .52% unch.
- Yield Curve 117.0 -3.0 basis points
- China Import Iron Ore Spot $81.55/Metric Tonne -2.51%
- Citi US Economic Surprise Index 40.70 +2.7 points
- Citi Eurozone Economic Surprise Index 69.50 -5.3 basis points
- Citi Emerging Markets Economic Surprise Index 38.30 +.7 point
- 10-Year TIPS Spread 2.0 unch.
- 27.8% chance of Fed rate hike at March 15 meeting, 39.0% chance at May 3 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -58 open in Japan
- China A50 Futures: Indicating +25 open in China
- DAX Futures: Indicating +2 open in Germany
Portfolio:
- Lower: On losses in my in my tech/biotech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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