Friday, January 31, 2014

Stocks Falling into Final Hour on Rising Global Growth Fears, Yen Strength, Earnings Concerns, Financial/Tech Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 17.77 +2.78%
  • Euro/Yen Carry Return Index 143.83 -.97%
  • Emerging Markets Currency Volatility(VXY) 10.21 +.79%
  • S&P 500 Implied Correlation 58.48 +1.32%
  • ISE Sentiment Index 96.0 -25.0%
  • Total Put/Call .81 -1.22%
  • NYSE Arms 1.28 +13.42% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 71.15 -.71%
  • European Financial Sector CDS Index 101.03 +1.08%
  • Western Europe Sovereign Debt CDS Index 55.0 -1.79%
  • Asia Pacific Sovereign Debt CDS Index 116.52 +1.32%
  • Emerging Market CDS Index 339.17 +.30%
  • 2-Year Swap Spread 13.0 +.5 basis point
  • TED Spread 22.25 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -7.75 -2.5 basis points
Economic Gauges:
  • 3-Month T-Bill Yield .02% unch.
  • Yield Curve 232.0 -3.0 basis points
  • China Import Iron Ore Spot $122.60/Metric Tonne unch.
  • Citi US Economic Surprise Index 49.0 +.9 point
  • Citi Emerging Markets Economic Surprise Index 12.50 +1.3 points
  • 10-Year TIPS Spread 2.13 -1.0 basis point
Overseas Futures:
  • Nikkei Futures: Indicating -160 open in Japan
  • DAX Futures: Indicating +2 open in Germany
Portfolio: 
  • Lower: On losses in my tech/biotech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my (EEM) short, then added them back
  • Market Exposure: 50% Net Long

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