Friday, May 02, 2014

Stocks Reversing Lower into Final Hour on Russia/Ukraine Tensions, Global Growth Fears, Yen Strength, Biotech/Utility Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: About Even
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.26 +.08%
  • Euro/Yen Carry Return Index 148.02 -.04%
  • Emerging Markets Currency Volatility(VXY) 7.76 -3.0%
  • S&P 500 Implied Correlation 57.17 +2.99%
  • ISE Sentiment Index 120.0 +17.65%
  • Total Put/Call .97 +19.75% 
  • NYSE Arms .91 -29.19% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 64.22 unch.
  • European Financial Sector CDS Index 78.16 -.74%
  • Western Europe Sovereign Debt CDS Index 34.11 -.96%
  • Asia Pacific Sovereign Debt CDS Index 87.48 +.11%
  • Emerging Market CDS Index 279.16 -.88%
  • China Blended Corporate Spread Index 353.35 +.44%
  • 2-Year Swap Spread 12.5 unch.
  • TED Spread 20.75 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -3.5 +.75 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .02% unch.
  • Yield Curve 216.0 -4.0 basis points
  • China Import Iron Ore Spot $106.0/Metric Tonne +.57%
  • Citi US Economic Surprise Index -18.90 +8.8 points
  • Citi Emerging Markets Economic Surprise Index -26.60 -1.3 points
  • 10-Year TIPS Spread 2.19 unch.
Overseas Futures:
  • Nikkei Futures: Indicating -67 open in Japan
  • DAX Futures: Indicating +3 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my biotech sector longs and emerging markets shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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