Wednesday, January 08, 2014

Stocks Falling into Final Hour on Rising Long-Term Rates, Emerging Markets Debt Angst, Technical Selling, Energy/Retail Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Mixed
  • Volume: Slightly Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.95 +.23%
  • Euro/Yen Carry Return Index 148.40 -.10%
  • Emerging Markets Currency Volatility(VXY) 9.11 -.11%
  • S&P 500 Implied Correlation 50.36 +.86%
  • ISE Sentiment Index 155.0 +1.31%
  • Total Put/Call .72 +1.41%
  • NYSE Arms .73 -41.86% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 65.19 +1.52%
  • European Financial Sector CDS Index 83.87 +3.74%
  • Western Europe Sovereign Debt CDS Index 52.0 unch.
  • Emerging Market CDS Index 281.20 +2.64%
  • 2-Year Swap Spread 11.0 +.75 basis point
  • TED Spread 20.0 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -1.25 +.5 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .04% unch.
  • Yield Curve 257.0 +3 basis points
  • China Import Iron Ore Spot $131.50/Metric Tonne -1.72%
  • Citi US Economic Surprise Index 63.40 +2.4 points
  • Citi Emerging Markets Economic Surprise Index 3.10 +1.6 points
  • 10-Year TIPS Spread 2.28 +4 basis points
Overseas Futures:
  • Nikkei Futures: Indicating -106 open in Japan
  • DAX Futures: Indicating +3 open in Germany
Portfolio: 
  • Higher: On gains in my biotech/medical sector longs, index hedges and emerging markets shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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