Friday, August 15, 2014

Stocks Slightly Lower into Final Hour on Escalating Russia-Ukraine Tensions, Rising Global Growth Fears, Increasing European Debt Angst, Retail/Financial Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Slightly Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.55 +9.10%
  • Euro/Yen Carry Return Index 143.14 +.14%
  • Emerging Markets Currency Volatility(VXY) 6.86 +2.39%
  • S&P 500 Implied Correlation 51.60 +2.79%
  • ISE Sentiment Index 74.0 +1.37%
  • Total Put/Call 1.0 +2.04%
  • NYSE Arms 1.16 +.33% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 59.79 +.49%
  • European Financial Sector CDS Index 68.97 +4.98%
  • Western Europe Sovereign Debt CDS Index 33.88 +1.06%
  • Asia Pacific Sovereign Debt CDS Index 71.26 -1.57%
  • Emerging Market CDS Index 273.19 +.43%
  • China Blended Corporate Spread Index 312.68 -.93%
  • 2-Year Swap Spread 22.25 -.75 basis point
  • TED Spread 21.0 +.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -13.50 unch.
Economic Gauges:
  • 3-Month T-Bill Yield .03% unch.
  • Yield Curve 193.0 -6.0 basis points
  • China Import Iron Ore Spot $93.40/Metric Tonne +.21%
  • Citi US Economic Surprise Index -5.70 -3.1 points
  • Citi Emerging Markets Economic Surprise Index -7.80 -.1 point
  • 10-Year TIPS Spread 2.19 -3.0 basis points
Overseas Futures:
  • Nikkei Futures: Indicating -35 open in Japan
  • DAX Futures: Indicating +32 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my biotech sector longs and emerging markets shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges, then covered some of them
  • Market Exposure: 50% Net Long

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