Wednesday, May 06, 2015

Stocks Falling into Final Hour on Fed Rate Hike Fears, Global Growth Worries, Yen Strength, Tech/Gaming Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Slightly Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 16.30 +13.91%
  • Euro/Yen Carry Return Index 141.50 +1.02%
  • Emerging Markets Currency Volatility(VXY) 10.43 +.29%
  • S&P 500 Implied Correlation 67.57 -.47%
  • ISE Sentiment Index 66.0 -49.23%
  • Total Put/Call 1.03 -15.57%
  • NYSE Arms .90 -10.24% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 65.57 +2.71%
  • America Energy Sector High-Yield CDS Index 1,076.0 -.31%
  • European Financial Sector CDS Index 75.27 +1.50%
  • Western Europe Sovereign Debt CDS Index 24.97 -.40%
  • Asia Pacific Sovereign Debt CDS Index 59.80 -1.0%
  • Emerging Market CDS Index 296.23 -.96%
  • iBoxx Offshore RMB China Corporates High Yield Index 118.14 +.07%
  • 2-Year Swap Spread 25.75 -.25 basis point
  • TED Spread 27.50 +1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -21.0 -.5 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .01% unch.
  • Yield Curve 160.0 +5.0 basis points
  • China Import Iron Ore Spot $60.89/Metric Tonne +3.73%
  • Citi US Economic Surprise Index -67.30 -2.0 points
  • Citi Eurozone Economic Surprise Index 19.0 +13.8 points
  • Citi Emerging Markets Economic Surprise Index -18.0 +.1 point
  • 10-Year TIPS Spread 1.91 -2.0 basis points
Overseas Futures:
  • Nikkei Futures: Indicating -278 open in Japan
  • DAX Futures: Indicating -27 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my index hedges and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 25% Net Long

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