Tuesday, November 11, 2014

Stocks Slightly Lower into Final Hour on Escalating Russia/Ukraine Tensions, Global Growth Fears, Technical Selling, Transport/Financial Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.09 +3.31%
  • Euro/Yen Carry Return Index 150.31 +.91%
  • Emerging Markets Currency Volatility(VXY) 8.14 -.37%
  • S&P 500 Implied Correlation 42.38 +7.15%
  • ISE Sentiment Index 67.0 -22.99%
  • Total Put/Call .97 -9.35%
  • NYSE Arms 1.02 -11.74% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 64.14 -.56%
  • European Financial Sector CDS Index 64.0 -.62%
  • Western Europe Sovereign Debt CDS Index 30.62 -3.13%
  • Asia Pacific Sovereign Debt CDS Index 64.24 -.16%
  • Emerging Market CDS Index 271.88 +.09%
  • China Blended Corporate Spread Index 323.55 n/a
  • 2-Year Swap Spread 21.25 unch.
  • TED Spread 21.75 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -9.75 +.75 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .02% unch.
  • Yield Curve 182.0 unch.
  • China Import Iron Ore Spot $75.87/Metric Tonne +.09%
  • Citi US Economic Surprise Index 15.80 +.2 point
  • Citi Eurozone Economic Surprise Index -30.20 +.5 point
  • Citi Emerging Markets Economic Surprise Index -11.50 -1.4 points
  • 10-Year TIPS Spread 1.94 unch.
Overseas Futures:
  • Nikkei Futures: Indicating +110 open in Japan
  • DAX Futures: Indicating -15 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my retail/tech 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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