Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 18.25 -4.3%
- Euro/Yen Carry Return Index 128.50 -.35%
- Emerging Markets Currency Volatility(VXY) 9.38 -.42%
- S&P 500 Implied Correlation 46.02 -2.5%
- ISE Sentiment Index 78.0 +6.85%
- Total Put/Call 1.03 unch.
- NYSE Arms 1.19 +52.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 77.25 -2.1%
- America Energy Sector High-Yield CDS Index 739.0 +.50%
- European Financial Sector CDS Index 102.23 -2.24%
- Italian/German 10Y Yld Spread 266.75 +5.5 basis points
- Asia Ex-Japan Investment Grade CDS Index 89.25 -.65%
- Emerging Market CDS Index 193.14 -.92%
- iBoxx Offshore RMB China Corporate High Yield Index 153.38 +.04%
- 2-Year Swap Spread 16.25 +.25 basis point
- TED Spread 36.75 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -2.75 -4.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.83 -.19%
- 3-Month T-Bill Yield 2.43% +2.0 basis points
- Yield Curve 18.0 +.75 basis point
- China Iron Ore Spot 71.42 USD/Metric Tonne +.15%
- Citi US Economic Surprise Index -7.80 -2.3 points
- Citi Eurozone Economic Surprise Index -85.7 +1.0 point
- Citi Emerging Markets Economic Surprise Index -18.7 +1.0 point
- 10-Year TIPS Spread 1.80-2.0 basis point
- 2.8% chance of Fed rate hike at March 20th meeting, 8.7% chance at May 1st meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -55 open in Japan
- China A50 Futures: Indicating +10 open in China
- DAX Futures: Indicating +3 open in Germany
Portfolio:
- Higher: On gains in my biotech/tech/medical/retail sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
No comments:
Post a Comment