Friday, September 27, 2013

Stocks Falling into Final Hour on European/Emerging Markets Debt Angst, US Debt Ceiling Worries, Technical Selling, Homebuilding/Tech Sector Weakness

Click Here for Today's Market Take.

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 15.77 +12.16%
  • Euro/Yen Carry Return Index 138.60 -.44%
  • Emerging Markets Currency Volatility(VXY) 10.09 +1.61%
  • S&P 500 Implied Correlation 47.85 +6.73%
  • ISE Sentiment Index 79.0 -11.24%
  • Total Put/Call .95 +35.71%
  • NYSE Arms 1.13 +1.85% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 80.97 +1.54%
  • European Financial Sector CDS Index 145.23 +3.21%
  • Western Europe Sovereign Debt CDS Index 84.91 -.11%
  • Emerging Market CDS Index 293.88 +3.78%
  • 2-Year Swap Spread 14.0 +.75 basis point
  • TED Spread 23.75 -1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -6.5 -.25 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .01% +1 basis point
  • Yield Curve 229.0 -1 basis point
  • China Import Iron Ore Spot $131.90/Metric Tonne -1.42%
  • Citi US Economic Surprise Index 46.5 -1.3 points
  • Citi Emerging Markets Economic Surprise Index 4.20 +.3 point
  • 10-Year TIPS Spread 2.18 -2 basis points
Overseas Futures:
  • Nikkei Futures: Indicating -25 open in Japan
  • DAX Futures: Indicating +12 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my biotech sector longs, index hedges and emerging markets shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
  • Market Exposure: 25% Net Long

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