Friday, January 24, 2014

Stocks Falling into Final Hour on Rising Emerging Markets/European Debt Angst, Global Growth Fears, Yen Strength, Homebuilding/Tranport Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Every Sector Declining
  • Volume: Above Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 17.06 +23.89%
  • Euro/Yen Carry Return Index 145.93 -1.13%
  • Emerging Markets Currency Volatility(VXY) 9.77 +6.78%
  • S&P 500 Implied Correlation 55.95 +7.19%
  • ISE Sentiment Index 84.0 -14.29%
  • Total Put/Call .92 +5.75%
  • NYSE Arms 1.31 -13.89% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 72.58 +7.06%
  • European Financial Sector CDS Index 104.55 +10.48%
  • Western Europe Sovereign Debt CDS Index 53.33 +6.66%
  • Asia-Pacific Sovereign Debt CDS Index 119.0 +5.01%
  • Emerging Market CDS Index 337.90 +5.54%
  • 2-Year Swap Spread 15.0 +.75 basis point
  • TED Spread 20.0 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -4.0 -1.5 basis points
Economic Gauges:
  • 3-Month T-Bill Yield .04% unch.
  • Yield Curve 239.0 -2.0 basis points
  • China Import Iron Ore Spot $124.30/Metric Tonne +.32%
  • Citi US Economic Surprise Index 62.60 +.1 point
  • Citi Emerging Markets Economic Surprise Index 6.7 +1.5 points
  • 10-Year TIPS Spread 2.13 -9.0 basis points
Overseas Futures:
  • Nikkei Futures: Indicating -391 open in Japan
  • DAX Futures: Indicating -6 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my index hedges and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 25% Net Long

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