Tuesday, May 19, 2015

Stocks Reversing Slightly Lower into Final Hour on Rising Long-Term Rates, US High-Yield Debt Angst, Technical Selling, Commodity/Telecom Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.85 +.94%
  • Euro/Yen Carry Return Index 140.69 -.81%
  • Emerging Markets Currency Volatility(VXY) 9.42 +.21%
  • S&P 500 Implied Correlation 62.80 -3.03%
  • ISE Sentiment Index 129.0 -3.01%
  • Total Put/Call 1.08 +12.5%
  • NYSE Arms 1.12 +6.89% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 63.45 +.08%
  • America Energy Sector High-Yield CDS Index 1,079.0 +.96%
  • European Financial Sector CDS Index 72.95 -5.3%
  • Western Europe Sovereign Debt CDS Index 21.77 -2.25%
  • Asia Pacific Sovereign Debt CDS Index 59.0 -.85%
  • Emerging Market CDS Index 289.08 +.25%
  • iBoxx Offshore RMB China Corporates High Yield Index 119.22 +.03%
  • 2-Year Swap Spread 25.75 -.25 basis point
  • TED Spread 26.75 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -19.5 -.25 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .01% unch.
  • Yield Curve 166.0 unch.
  • China Import Iron Ore Spot $58.53/Metric Tonne -3.5%
  • Citi US Economic Surprise Index -64.5 +7.9 points
  • Citi Eurozone Economic Surprise Index -4.50 -5.1 points
  • Citi Emerging Markets Economic Surprise Index -10.7 +.7 point
  • 10-Year TIPS Spread 1.88 unch.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +118 open in Japan 
  • China A50 Futures: Indicating +53 open in China
  • DAX Futures: Indicating -21 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my tech/retail 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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