Friday, February 06, 2015

Stocks Reversing Lower into Final Hour on Rising Eurozone/Emerging Markets Debt Angst, Fed Rate Hike Fears, Earnings Worries, Utility/REIT Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Slightly Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 17.66 +4.99%
  • Euro/Yen Carry Return Index 140.84 -.08%
  • Emerging Markets Currency Volatility(VXY) 10.91 +2.35%
  • S&P 500 Implied Correlation 67.36 +3.33%
  • ISE Sentiment Index 68.0 -43.80%
  • Total Put/Call .97 +1.04%
  • NYSE Arms .67 -9.43% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 66.44 +.14%
  • America Energy Sector High-Yield CDS Index 730.0 -1.55%
  • European Financial Sector CDS Index 62.93 +1.47%
  • Western Europe Sovereign Debt CDS Index 25.48 +2.37%
  • Asia Pacific Sovereign Debt CDS Index 67.50 -.28%
  • Emerging Market CDS Index 377.70 -.26%
  • iBoxx Offshore RMB China Corporates High Yield Index 113.64 +.03%
  • 2-Year Swap Spread 26.75 +1.75 basis points
  • TED Spread 24.5 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -19.25 -2.0 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .02% +1.0 basis point
  • Yield Curve 130.0 +1.0 basis point
  • China Import Iron Ore Spot $62.49/Metric Tonne +1.38%
  • Citi US Economic Surprise Index -25.30 +1.9 points
  • Citi Eurozone Economic Surprise Index 24.80 -.9 point
  • Citi Emerging Markets Economic Surprise Index -5.30 -.8 point
  • 10-Year TIPS Spread 1.72 +3.0 basis points
Overseas Futures:
  • Nikkei Futures: Indicating +192 open in Japan
  • DAX Futures: Indicating -69 open in Germany
Portfolio: 
  • Higher: On gains in my index hedges and emerging markets shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
  • Market Exposure: Moved to 25% Net Long

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