Monday, December 07, 2015

Stocks Falling into Final Hour on Global Growth Fears, Emerging Markets/US High-Yield Debt Angst, Oil Decline, Commodity/Biotech Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 16.76 +13.17%
  • Euro/Yen Carry Return Index 139.73 -.13%
  • Emerging Markets Currency Volatility(VXY) 10.48 -1.04%
  • S&P 500 Implied Correlation 57.64 +3.25%
  • ISE Sentiment Index 76.0 -26.92%
  • Total Put/Call 1.01 +13.48%
  • NYSE Arms 1.12 +19.50
Credit Investor Angst:
  • North American Investment Grade CDS Index 83.66 +1.43%
  • America Energy Sector High-Yield CDS Index 1,418.0 +5.48%
  • European Financial Sector CDS Index 70.68 -1.15%
  • Western Europe Sovereign Debt CDS Index 17.01 -4.06%
  • Asia Pacific Sovereign Debt CDS Index 69.0 +.80%
  • Emerging Market CDS Index 344.85 +2.51%
  • iBoxx Offshore RMB China Corporate High Yield Index 123.89 +.01%
  • 2-Year Swap Spread 11.50 +1.50 basis points
  • TED Spread 24.75 +1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -33.5 +1.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 70.01 -.81%
  • 3-Month T-Bill Yield .24% +3.0 basis points
  • Yield Curve 129.0 -4.0 basis points
  • China Import Iron Ore Spot $39.06/Metric Tonne -2.42%
  • Citi US Economic Surprise Index -24.30 +1.5 points
  • Citi Eurozone Economic Surprise Index 16.70 -2.4 points
  • Citi Emerging Markets Economic Surprise Index 11.0 -1.1 points
  • 10-Year TIPS Spread 1.58 -5.0 basis points
  • # of Months to 1st Fed Rate Hike(Morgan Stanley) 1.61 n/a
Overseas Futures:
  • Nikkei 225 Futures: Indicating +17 open in Japan 
  • China A50 Futures: Indicating -234 open in China
  • DAX Futures: Indicating -3 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my biotech/retail/tech sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
  • Market Exposure: Moved to 25% Net Long

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