Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 17.1 +17.6%
- Euro/Yen Carry Return Index 124.56 -.39%
- Emerging Markets Currency Volatility(VXY) 6.64 +8.9%
- S&P 500 Implied Correlation 43.0 +4.0%
- ISE Sentiment Index 76.0 +9
- Total Put/Call 1.01 -7.0%
- NYSE Arms 1.82 -22.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 48.78 +4.37%
- America Energy Sector High-Yield CDS Index 628.0 +3.16%
- European Financial Sector CDS Index 54.75 +1.87%
- Italian/German 10Y Yld Spread 142.25 -14.5 basis points
- Asia Ex-Japan Investment Grade CDS Index 58.0 +8.0%
- Emerging Market CDS Index 194.50 +.64%
- iBoxx Offshore RMB China Corporate High Yield Index 169.75 +.06%
- 2-Year Swap Spread 4.75 -1.0 basis point
- TED Spread 27.0 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -5.75 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.66 -.52%
- 3-Month T-Bill Yield 1.54% +1.0 basis point
- Yield Curve .19 -4.0 basis points
- China Iron Ore Spot 84.85 USD/Metric Tonne -5.76%
- Citi US Economic Surprise Index 4.8 -5.2 points
- Citi Eurozone Economic Surprise Index 42.80 -8.0 points
- Citi Emerging Markets Economic Surprise Index 12.6 +3.3 basis points
- 10-Year TIPS Spread 1.63 -4.0 basis points
- 12.2% chance of Fed rate cut at March 18th meeting, 21.5% chance of cut at April 29th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -203 open in Japan
- China A50 Futures: Indicating -744 open in China
- DAX Futures: Indicating +31 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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