Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Heavy
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 28.4 +.2%
- Euro/Yen Carry Return Index 131.58 -.64%
- Emerging Markets Currency Volatility(VXY) 9.56 +.31%
- S&P 500 Implied Correlation 48.85 -.47%
- ISE Sentiment Index 48.0 -22.6%
- Total Put/Call 1.37 -25.5%
- NYSE Arms 1.15 +5.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 90.51 +1.44%
- America Energy Sector High-Yield CDS Index 789.0 +4.02%
- European Financial Sector CDS Index 111.01 +2.58%
- Italian/German 10Y Yld Spread 258.0 +7.0 basis points
- Asia Pacific Sovereign Debt CDS Index 11.62 +.2%
- Emerging Market CDS Index 210.77 +2.9%
- iBoxx Offshore RMB China Corporate High Yield Index 150.86 -.15%
- 2-Year Swap Spread 15.25 +.5 basis point
- TED Spread 42.25 +1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -1.75 +1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.60 -.63%
- 3-Month T-Bill Yield 2.38% unch.
- Yield Curve 15.25 +3.25 basis points
- China Iron Ore Spot 69.30 USD/Metric Tonne -1.8%
- Citi US Economic Surprise Index -16.3 -5.7 points
- Citi Eurozone Economic Surprise Index -77.50 -2.9 points
- Citi Emerging Markets Economic Surprise Index -3.9 -.2 point
- 10-Year TIPS Spread 1.78 +2.0 basis points
- 20.3% chance of Fed rate hike at March 20th meeting, 26.8% chance at May 1st meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -251 open in Japan
- China A50 Futures: Indicating -99 open in China
- DAX Futures: Indicating -80 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/biotech/retail sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 25% Net Long
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