Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Heavy
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 11.4 +2.4%
- Euro/Yen Carry Return Index 140.94 -.26%
- Emerging Markets Currency Volatility(VXY) 8.02 -.87%
- S&P 500 Implied Correlation 33.71 -.44%
- ISE Sentiment Index 97.0 -1.0%
- Total Put/Call .83 +26.7%
- NYSE Arms .54 -63.74%
Credit Investor Angst:
- North American Investment Grade CDS Index 46.67 +.66%
- America Energy Sector High-Yield CDS Index 305.0 -2.20%
- European Financial Sector CDS Index 42.26 +.37%
- Italian/German 10Y Yld Spread 132.0 -.75 basis point
- Asia Pacific Sovereign Debt CDS Index 10.58 -.28%
- Emerging Market CDS Index 113.50 -1.36%
- iBoxx Offshore RMB China Corporate High Yield Index 147.09 -.03%
- 2-Year Swap Spread 18.0 -2.25 basis points
- TED Spread 30.75 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -24.5 +1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 76.38 +.86%
- 3-Month T-Bill Yield 1.43% +2.0 basis points
- Yield Curve 57.0 -1.0 basis point
- China Iron Ore Spot 73.15 USD/Metric Tonne +.80%
- Citi US Economic Surprise Index 49.70 +.1 point
- Citi Eurozone Economic Surprise Index 58.10 +6.3 basis points
- Citi Emerging Markets Economic Surprise Index 3.90 -.2 basis point
- 10-Year TIPS Spread 2.07 +2.0 basis points
- 88.5% chance of Fed rate hike at March 21 meeting, 88.8% chance at May 2 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -190 open in Japan
- China A50 Futures: Indicating +37 open in China
- DAX Futures: Indicating +23 open in Germany
Portfolio:
- Lower: On losses in my biotech/tech/retail sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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