Monday, January 13, 2014

Stocks Falling into Final Hour on Global Growth Fears, Valuation Worries, Surging Yen, Energy/Retail Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Above Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 13.18 +8.57%
  • Euro/Yen Carry Return Index 146.69 -1.22%
  • Emerging Markets Currency Volatility(VXY) 8.42 -.71%
  • S&P 500 Implied Correlation 51.23 +4.67%
  • ISE Sentiment Index 111.0 +4.72%
  • Total Put/Call .69 -8.0%
  • NYSE Arms 1.67 +40.0% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 66.04 +3.26%
  • European Financial Sector CDS Index 87.33 +1.55%
  • Western Europe Sovereign Debt CDS Index 51.0 +2.0%
  • Emerging Market CDS Index 284.35 +1.57%
  • 2-Year Swap Spread 11.75 -.25 basis point
  • TED Spread 21.25 +.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -2.75 -1.0 basis points
Economic Gauges:
  • 3-Month T-Bill Yield .03% -1 basis point
  • Yield Curve 247.0 -2 basis points
  • China Import Iron Ore Spot $130.90/Metric Tonne +.15%
  • Citi US Economic Surprise Index 66.10 +.6 point
  • Citi Emerging Markets Economic Surprise Index .1 +1.0 point
  • 10-Year TIPS Spread 2.26 -1 basis point
Overseas Futures:
  • Nikkei Futures: Indicating -412 open in Japan
  • DAX Futures: Indicating -70 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my retail/biotech/medical/tech sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges, added (VXX) long, took some profits in retail sector longs
  • Market Exposure: Moved to 25% Net Long

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