Wednesday, March 04, 2015

Stocks Lower into Final Hour on Earnings Concerns, Global Growth Fears, Emerging Markets Debt Angst, REIT/Metals & Mining Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Mixed
  • Volume: Slightly Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 14.49 +4.55%
  • Euro/Yen Carry Return Index 138.47 -.93%
  • Emerging Markets Currency Volatility(VXY) 10.03 +1.42%
  • S&P 500 Implied Correlation 58.84 -1.08%
  • ISE Sentiment Index 111.0 +21.98%
  • Total Put/Call .94 -3.09%
  • NYSE Arms 1.56 +46.40% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 61.81 +.09%
  • America Energy Sector High-Yield CDS Index 666.0 +.31%
  • European Financial Sector CDS Index 56.13 -1.66%
  • Western Europe Sovereign Debt CDS Index 22.71 +.20%
  • Asia Pacific Sovereign Debt CDS Index 62.72 +2.17%
  • Emerging Market CDS Index 381.95 +1.55%
  • iBoxx Offshore RMB China Corporates High Yield Index 114.30 -.14%
  • 2-Year Swap Spread 24.75 unch.
  • TED Spread 25.5 +.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -22.25 -1.0 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .01% unch.
  • Yield Curve 146.0 +2.0 basis points
  • China Import Iron Ore Spot $61.94/Metric Tonne -.48%
  • Citi US Economic Surprise Index -49.6 -.2 point
  • Citi Eurozone Economic Surprise Index 55.6 -6.2 points
  • Citi Emerging Markets Economic Surprise Index -6.5 -.3 points
  • 10-Year TIPS Spread 1.88 +1.0 basis point
Overseas Futures:
  • Nikkei Futures: Indicating +2 open in Japan
  • DAX Futures: Indicating +19 open in Germany
Portfolio: 
  • Higher: On gains in my biotech sector longs, index hedges and emerging markets shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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