Tuesday, November 10, 2015

Stocks Falling into Afternoon on Fed Rate Hike Fears, European/US High-Yield Debt Angst, Earnings Outlook Worries, Tech/Telecom Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Slightly Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 16.15 -2.24%
  • Euro/Yen Carry Return Index 137.64 -.53%
  • Emerging Markets Currency Volatility(VXY) 10.83 -.37%
  • S&P 500 Implied Correlation 55.93 -1.51%
  • ISE Sentiment Index 89.0 +5.95%
  • Total Put/Call 1.03 -7.21%
  • NYSE Arms 1.34 +17.78
Credit Investor Angst:
  • North American Investment Grade CDS Index 81.36 +.78%
  • America Energy Sector High-Yield CDS Index 1,119.0 -1.69%
  • European Financial Sector CDS Index 71.74 +1.21%
  • Western Europe Sovereign Debt CDS Index 20.38 +5.51%
  • Asia Pacific Sovereign Debt CDS Index 70.15 -.77%
  • Emerging Market CDS Index 322.51 -1.49%
  • iBoxx Offshore RMB China Corporate High Yield Index 123.66 +.18%
  • 2-Year Swap Spread 9.25 +.25 basis point
  • TED Spread 26.5 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -40.5 -.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 70.92 -.01%
  • 3-Month T-Bill Yield .13% +5.0 basis points
  • Yield Curve 146.0 -1.0 basis point
  • China Import Iron Ore Spot $48.24/Metric Tonne n/a
  • Citi US Economic Surprise Index .9 +.3 point
  • Citi Eurozone Economic Surprise Index 23.7 +.3 point
  • Citi Emerging Markets Economic Surprise Index -4.1 -.5 point
  • 10-Year TIPS Spread 1.60 -1.0 basis point
  • # of Months to 1st Fed Rate Hike(Morgan Stanley) 2.8 -.11
Overseas Futures:
  • Nikkei 225 Futures: Indicating -7 open in Japan 
  • China A50 Futures: Indicating -133 open in China
  • DAX Futures: Indicating +17 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my medical sector longs, index hedges and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 25% Net Long

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