Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 28.6 -4.6%
- Euro/Yen Carry Return Index 131.22 -.51%
- Emerging Markets Currency Volatility(VXY) 9.73 -.31%
- S&P 500 Implied Correlation 51.06 +7.4%
- ISE Sentiment Index 82.0 -22.6%
- Total Put/Call .87 -7.45%
- NYSE Arms .99 +47.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 88.16 -.75%
- America Energy Sector High-Yield CDS Index 809.0 -3.52%
- European Financial Sector CDS Index 111.99 -2.94%
- Italian/German 10Y Yld Spread 250.0 -8.0 basis points
- Asia Pacific Sovereign Debt CDS Index 11.75 unch.
- Emerging Market CDS Index 208.65 -1.13%
- iBoxx Offshore RMB China Corporate High Yield Index 151.12 +.30%
- 2-Year Swap Spread 14.5 +1.0 basis points
- TED Spread 41.25 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap 1.50 +2.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.94 +.25%
- 3-Month T-Bill Yield 2.37% -6.0 basis points
- Yield Curve 20.5 +2.0 basis points
- China Iron Ore Spot 69.58 USD/Metric Tonne +.1%
- Citi US Economic Surprise Index -17.9 -2.5 points
- Citi Eurozone Economic Surprise Index -73.30 +.5 point
- Citi Emerging Markets Economic Surprise Index -7.7 -3.3 points
- 10-Year TIPS Spread 1.74 -3.0 basis points
- 5.7% chance of Fed rate hike at March 20th meeting, 9.5% chance at May 1st meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +60 open in Japan
- China A50 Futures: Indicating +48 open in China
- DAX Futures: Indicating +32 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/retail/medical/industrial sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
- Market Exposure: Moved to 100% Net Long
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