Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 21.5 +1.0%
- Bloomberg Global Risk On/Risk Off Index 2,177.0 -22.0 points
- Euro/Yen Carry Return Index 130.83 +.31%
- Emerging Markets Currency Volatility(VXY) 10.3 +1.1%
- S&P 500 Implied Correlation 50.9 +6.2%
- ISE Sentiment Index 122.0 +5.0 points
- Total Put/Call .62 -15.1%
- NYSE Arms .83 -35.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 51.13 +.62%
- US Energy High-Yield OAS 504.40 +3.4%
- European Financial Sector CDS Index 60.07 +1.2%
- Italian/German 10Y Yld Spread 126.0 +8.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 61.05 +.45%
- Emerging Market CDS Index 171.0 +2.2%
- iBoxx Offshore RMB China Corporate High Yield Index 185.48 -.01%
- 2-Year Swap Spread 7.75 unch.
- TED Spread 14.75 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -5.25 -1.25 basis point
- MBS 5/10 Treasury Spread 69.0 +.25 basis point
- IHS Markit CMBX BBB- 6 73.75 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 62.22 -.73%
- 3-Month T-Bill Yield .07% -1.0 basis point
- Yield Curve 98.75 +2.5 basis points
- China Iron Ore Spot 166.40 USD/Metric Tonne -2.4%
- Citi US Economic Surprise Index 78.20 +15.8 points
- Citi Eurozone Economic Surprise Index 142.0 +.5 point
- Citi Emerging Markets Economic Surprise Index 60.30 +.2 point
- 10-Year TIPS Spread 2.08 -9.0 basis points
- 100.0% chance of no change at March 17th meeting, 100.0% chance of no change at April 28th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +19 open in Japan
- China A50 Futures: Indicating -72 open in China
- DAX Futures: Indicating +12 open in Germany
Portfolio:
- Slightly Lower: On losses in my energy/industrial sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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