Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 29.6 +15.6%
- Euro/Yen Carry Return Index 132.48 -.43%
- Emerging Markets Currency Volatility(VXY) 9.54 -.93%
- S&P 500 Implied Correlation 51.48 +1.3%
- ISE Sentiment Index 56.0 -52.9%
- Total Put/Call 1.92 +53.6%
- NYSE Arms .82 -36.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 88.97 +4.46%
- America Energy Sector High-Yield CDS Index 758.0 +4.28%
- European Financial Sector CDS Index 108.22 +5.53%
- Italian/German 10Y Yld Spread 221.0 -2.25 basis points
- Asia Pacific Sovereign Debt CDS Index 11.62 unch.
- Emerging Market CDS Index 204.24 +1.61%
- iBoxx Offshore RMB China Corporate High Yield Index 151.09 +.10%
- 2-Year Swap Spread 14.75 +1.25 basis points
- TED Spread 40.5 -3.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -3.5 +11.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.04 +.17%
- 3-Month T-Bill Yield 2.38% unch.
- Yield Curve 12.0 -1.25 basis points
- China Iron Ore Spot 70.43 USD/Metric Tonne +.43%
- Citi US Economic Surprise Index -10.6 -.9 point
- Citi Eurozone Economic Surprise Index -74.60 +.4 point
- Citi Emerging Markets Economic Surprise Index -3.7 -.3 point
- 10-Year TIPS Spread 1.76 -4.0 basis points
- 21.3% chance of Fed rate hike at March 20th meeting, 27.0% chance at May 1st meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -167 open in Japan
- China A50 Futures: Indicating -47 open in China
- DAX Futures: Indicating -79 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/biotech sector longs and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
- Market Exposure: Moved to 75% Net Long
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