Thursday, September 25, 2014

Stocks Falling into Final Hour on Russia Sanction Concerns, Global Growth Fears, Terrorism Worries, Healthcare/Tech Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Every Sector Declining
  • Volume: Slightly Above Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 15.93 +20.05%
  • Euro/Yen Carry Return Index 144.67 -.59%
  • Emerging Markets Currency Volatility(VXY) 7.62 +4.53%
  • S&P 500 Implied Correlation 54.93 +14.49%
  • ISE Sentiment Index 70.0 -32.04%
  • Total Put/Call 1.13 +29.89%
  • NYSE Arms 1.54 +110.31% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 62.20 +4.37%
  • European Financial Sector CDS Index 60.66 +3.38%
  • Western Europe Sovereign Debt CDS Index 28.39 +2.05%
  • Asia Pacific Sovereign Debt CDS Index 64.54 +1.33%
  • Emerging Market CDS Index 257.84 +3.21%
  • China Blended Corporate Spread Index 308.18 -.66%
  • 2-Year Swap Spread 22.5 +.75 basis point
  • TED Spread 22.50 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -8.5 unch.
Economic Gauges:
  • 3-Month T-Bill Yield .00% unch.
  • Yield Curve 195.0 -3.0 basis points
  • China Import Iron Ore Spot $78.60/Metric Tonne -1.01%
  • Citi US Economic Surprise Index 26.90 unch.
  • Citi Emerging Markets Economic Surprise Index -17.20 -.1 point
  • 10-Year TIPS Spread 2.01 -3.0 basis points
Overseas Futures:
  • Nikkei Futures: Indicating -240 open in Japan
  • DAX Futures: Indicating -22 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my tech/biotech/medical/retail sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
  • Market Exposure: Moved to 25% Net Long

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