Friday, June 12, 2015

Stocks Falling into Afternoon on Greece Debt Deal Worries, Rising Eurozone/Emerging Markets/US HIgh-Yield Debt Angst, Oil Drop, Biotech/Gaming Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.65 +6.38%
  • Euro/Yen Carry Return Index 145.36 +.16%
  • Emerging Markets Currency Volatility(VXY) 9.36 -.21%
  • S&P 500 Implied Correlation 61.03 +1.45%
  • ISE Sentiment Index 107.0 +72.58%
  • Total Put/Call 1.10 +32.53%
  • NYSE Arms 2.06 +82.89% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 67.40 +2.44%
  • America Energy Sector High-Yield CDS Index 1,576.0 +2.61%
  • European Financial Sector CDS Index 78.32 +2.19%
  • Western Europe Sovereign Debt CDS Index 25.69 +11.3%
  • Asia Pacific Sovereign Debt CDS Index 62.23 +2.17%
  • Emerging Market CDS Index 312.67 +.91%
  • iBoxx Offshore RMB China Corporates High Yield Index 120.25 -.01%
  • 2-Year Swap Spread 27.25 +1.25 basis points
  • TED Spread 28.0 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -20.25 +.5 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .01% unch.
  • Yield Curve 166.0 -1.0 basis point
  • China Import Iron Ore Spot $65.13/Metric Tonne -.73%
  • Citi US Economic Surprise Index -33.0 +4.7 points
  • Citi Eurozone Economic Surprise Index 4.7 -.4 point
  • Citi Emerging Markets Economic Surprise Index -15.80 +5.0 points
  • 10-Year TIPS Spread 1.86 unch.
Overseas Futures:
  • Nikkei 225 Futures: Indicating -78 open in Japan 
  • China A50 Futures: Indicating -33 open in China
  • DAX Futures: Indicating -19 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my biotech/medical/tech sector longs 
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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