Thursday, September 24, 2015

Stocks Lower into Final Hour on Global Growth Fears, Surging European/Emerging Markets/US High-Yield Debt Angst, Earnings Worries, Transport/Healthcare Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 23.0 +3.89%
  • Euro/Yen Carry Return Index 140.62 +.1%
  • Emerging Markets Currency Volatility(VXY) 13.17 +3.86%
  • S&P 500 Implied Correlation 64.13 +2.94%
  • ISE Sentiment Index 67.0 +26.42%
  • Total Put/Call 1.02 unch.
  • NYSE Arms .65 -59.41% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 86.19 +2.52%
  • America Energy Sector High-Yield CDS Index 995.0 +1.72%
  • European Financial Sector CDS Index 91.71 +4.55%
  • Western Europe Sovereign Debt CDS Index 21.21 +.62%
  • Asia Pacific Sovereign Debt CDS Index 86.86 +5.27%
  • Emerging Market CDS Index 376.06 +.58%
  • iBoxx Offshore RMB China Corporates High Yield Index 119.68 +.01%
  • 2-Year Swap Spread 10.5 +.75 basis point
  • TED Spread 32.5 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -24.25 +.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 70.44 +.35%
  • 3-Month T-Bill Yield .00% -1.0 basis point
  • Yield Curve 144.0 -1.0 basis point
  • China Import Iron Ore Spot $55.30/Metric Tonne n/a
  • Citi US Economic Surprise Index -27.5 +.7 point
  • Citi Eurozone Economic Surprise Index 16.9 +2.4 points
  • Citi Emerging Markets Economic Surprise Index -24.5 -1.1 point
  • 10-Year TIPS Spread 1.49 -4.0 basis points
  • # of Months to 1st Fed Rate Hike(Morgan Stanley) 5.62 -.13
Overseas Futures:
  • Nikkei 225 Futures: Indicating -99 open in Japan 
  • China A50 Futures: Indicating -36 open in China
  • DAX Futures: Indicating +111 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my 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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