Wednesday, March 05, 2014

Stocks Slightly Lower into Final Hour on Russia/Ukraine Tensions, Technical Selling, Profit-Taking, Homebuilding/REIT Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 14.19 +.64%
  • Euro/Yen Carry Return Index 146.55 +.02%
  • Emerging Markets Currency Volatility(VXY) 8.61 -2.93%
  • S&P 500 Implied Correlation 53.73 +.84%
  • ISE Sentiment Index 139.0 +14.88%
  • Total Put/Call .76 -5.0%
  • NYSE Arms .77 +17.32% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 62.56 +.12%
  • European Financial Sector CDS Index 87.10 -1.52%
  • Western Europe Sovereign Debt CDS Index 51.0 -1.30%
  • Asia Pacific Sovereign Debt CDS Index 96.67 -2.95%
  • Emerging Market CDS Index 299.53 -1.02%
  • China Blended Corporate Spread Index 361.06 -1.56%
  • 2-Year Swap Spread 13.25 -.25 basis point
  • TED Spread 18.25 -.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -6.25 -.5 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .05% unch.
  • Yield Curve 236.0 unch.
  • China Import Iron Ore Spot $116.80/Metric Tonne -.76%
  • Citi US Economic Surprise Index -16.70 +2.0 points
  • Citi Emerging Markets Economic Surprise Index 12.0 -.4 point
  • 10-Year TIPS Spread 2.19 unch.
Overseas Futures:
  • Nikkei Futures: Indicating +1 open in Japan
  • DAX Futures: Indicating -2 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech sector longs, index hedges and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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