Thursday, September 11, 2014

Stocks Slightly Lower into Final Hour on New Russia Sanctions, Scotland Independence Jitters, Global Growth Fears, Energy/Biotech Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Slightly Higher
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.91 +.23%
  • Euro/Yen Carry Return Index 144.43 +.22%
  • Emerging Markets Currency Volatility(VXY) 6.98 -1.69%
  • S&P 500 Implied Correlation 48.02 -1.58%
  • ISE Sentiment Index 108.0 +12.5%
  • Total Put/Call .96 +2.13%
  • NYSE Arms .68 -24.91% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 59.10 +.80%
  • European Financial Sector CDS Index 59.0 -.85%
  • Western Europe Sovereign Debt CDS Index 28.80 +.81%
  • Asia Pacific Sovereign Debt CDS Index 63.63 +.16%
  • Emerging Market CDS Index 248.19 +.89%
  • China Blended Corporate Spread Index 305.27 -.95%
  • 2-Year Swap Spread 23.5 +.75 basis point
  • TED Spread 22.0 +.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -15.55 -.25 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .01% -1.0 basis point
  • Yield Curve 198.0 +1.0 basis point
  • China Import Iron Ore Spot $81.90/Metric Tonne -.36%
  • Citi US Economic Surprise Index 35.50 -2.9 points
  • Citi Emerging Markets Economic Surprise Index -11.70 +.9 basis point
  • 10-Year TIPS Spread 2.13 +2.0 basis points
Overseas Futures:
  • Nikkei Futures: Indicating -50 open in Japan
  • DAX Futures: Indicating -6 open in Germany
Portfolio: 
  • Higher: On gains in my retail sector longs and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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