Broad Equity Market Tone:
- Advance/Decline Line: Slightly Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.88 +8.4%
- Euro/Yen Carry Return Index 127.02 +.09%
- Emerging Markets Currency Volatility(VXY) 10.74 unch.
- S&P 500 Implied Correlation 47.95 -.27%
- ISE Sentiment Index 76.0 -15.6%
- Total Put/Call 1.07 -.93%
- NYSE Arms 1.37 -6.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 66.50 +1.60%
- America Energy Sector High-Yield CDS Index 413.0 -.45%
- European Financial Sector CDS Index 90.32 +.88%
- Western Europe Sovereign Debt CDS Index 21.67 -6.03%
- Asia Pacific Sovereign Debt CDS Index 31.91 -2.76%
- Emerging Market CDS Index 236.83 +.06%
- iBoxx Offshore RMB China Corporate High Yield Index 133.50 +.02%
- 2-Year Swap Spread 29.50 -.5 basis point
- TED Spread 52.75 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -29.25 +3.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.78 +.25%
- 3-Month T-Bill Yield .51% +1.0 basis point
- Yield Curve 124.0 -4.0 basis points
- China Import Iron Ore Spot $83.34/Metric Tonne n/a
- Citi US Economic Surprise Index 31.80 +.2 point
- Citi Eurozone Economic Surprise Index 55.30 +.3 point
- Citi Emerging Markets Economic Surprise Index 37.10 +.4 point
- 10-Year TIPS Spread 2.06 -1.0 basis point
- 32.9% chance of Fed rate hike at March 15 meeting, 46.3% chance at May 3 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -59 open in Japan
- China A50 Futures: Indicating n/a open in China
- DAX Futures: Indicating +56 open in Germany
Portfolio:
- Slightly Higher: On gains in my in my biotech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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