Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.1 +17.9%
- Euro/Yen Carry Return Index 140.57 -.08%
- Emerging Markets Currency Volatility(VXY) 8.29 +.97%
- S&P 500 Implied Correlation 32.39 -3.14%
- ISE Sentiment Index 90.0 -30.2%
- Total Put/Call .71 -10.13%
- NYSE Arms .61 +23.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 45.82 +.56%
- America Energy Sector High-Yield CDS Index 294.0 +.15%
- European Financial Sector CDS Index 41.20 -.05%
- Italian/German 10Y Yld Spread 133.25 -4.5 basis points
- Asia Pacific Sovereign Debt CDS Index 10.66 -.42%
- Emerging Market CDS Index 115.80 +2.15%
- iBoxx Offshore RMB China Corporate High Yield Index 146.53 +.06%
- 2-Year Swap Spread 19.50 +1.0 basis point
- TED Spread 35.75 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -29.0 -2.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 76.18 -.39%
- 3-Month T-Bill Yield 1.40% -1.0 basis point
- Yield Curve 57.75 +3.75 basis points
- China Iron Ore Spot 73.50 USD/Metric Tonne +1.18%
- Citi US Economic Surprise Index 35.50 -2.0 points
- Citi Eurozone Economic Surprise Index 55.40 -1.0 basis point
- Citi Emerging Markets Economic Surprise Index 1.5 +1.0 basis point
- 10-Year TIPS Spread 2.09 unch.
- 88.8% chance of Fed rate hike at March 21 meeting, 89.3% chance at May 2 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -39 open in Japan
- China A50 Futures: Indicating -61 open in China
- DAX Futures: Indicating -7 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/retail sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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