Friday, September 20, 2013

Stocks Lower into Final Hour on Debt Ceiling Worries, Profit Taking, Technical Selling, Metals & Mining/Homebuilding Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Most Sectors Declining
  • Volume: About Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.23 +.53%
  • Euro/Yen Carry Return Index 140.01 -.20%
  • Emerging Markets Currency Volatility(VXY) 9.84 +1.23%
  • S&P 500 Implied Correlation 47.19 +1.94%
  • ISE Sentiment Index 89.0 -32.06%
  • Total Put/Call 1.02 +34.21%
  • NYSE Arms 1.60 +20.37% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 79.60 +13.99% (new series)
  • European Financial Sector CDS Index 140.36 +12.14%
  • Western Europe Sovereign Debt CDS Index 86.91 -1.23%
  • Emerging Market CDS Index 262.52 -3.72%
  • 2-Year Swap Spread 15.50 -.5 basis point
  • TED Spread 24.0 -1.0 basis point
  • 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 240.0 -2 basis points
  • China Import Iron Ore Spot $131.80/Metric Tonne n/a
  • Citi US Economic Surprise Index 44.40 unch.
  • Citi Emerging Markets Economic Surprise Index 2.10 +.8 point
  • 10-Year TIPS Spread 2.24 +2 basis points
Overseas Futures:
  • Nikkei Futures: Indicating -12 open in Japan
  • DAX Futures: Indicating -4 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my index hedges and emerging markets shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
  • Market Exposure: Moved to 25% Net Long

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