Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 32.49 -9.93%
- Euro/Yen Carry Return Index 131.06 +.33%
- Emerging Markets Currency Volatility(VXY) 9.60 unch.
- S&P 500 Implied Correlation 45.95 -6.09%
- ISE Sentiment Index 138.0 +50.0%
- Total Put/Call 1.12 -14.5%
- NYSE Arms .56 -73.58%
Credit Investor Angst:
- North American Investment Grade CDS Index 91.11 -3.96%
- America Energy Sector High-Yield CDS Index 821.0 +2.06%
- European Financial Sector CDS Index 114.65 +.21%
- Italian/German 10Y Yld Spread 258.0 unch.
- Asia Pacific Sovereign Debt CDS Index 11.75 +.23%
- Emerging Market CDS Index 213.58 -.82%
- iBoxx Offshore RMB China Corporate High Yield Index 151.0 +.02%
- 2-Year Swap Spread 13.5 -1.75 basis points
- TED Spread 41.75 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -1.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.63 -.09%
- 3-Month T-Bill Yield 2.43% +5.0 basis points
- Yield Curve 18.5 +3.25 basis points
- China Iron Ore Spot 70.46 USD/Metric Tonne +1.12%
- Citi US Economic Surprise Index -15.4 +.9 point
- Citi Eurozone Economic Surprise Index -73.80 +3.7 points
- Citi Emerging Markets Economic Surprise Index -4.4 +.5 point
- 10-Year TIPS Spread 1.77 -1.0 basis point
- 13.9% chance of Fed rate hike at March 20th meeting, 19.0% chance at May 1st meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +601 open in Japan
- China A50 Futures: Indicating +27 open in China
- DAX Futures: Indicating n/a 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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