Tuesday, December 08, 2015

Stocks Falling into Final Hour on Global Growth Fears, Emerging Markets/US High-Yield Debt Angst, Fed Rate Hike Worries, Transport/Homebuilding Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Slightly Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 17.43 +10.0%
  • Euro/Yen Carry Return Index 140.0 +.23%
  • Emerging Markets Currency Volatility(VXY) 10.65 +1.43%
  • S&P 500 Implied Correlation 57.38 +2.17%
  • ISE Sentiment Index 119.0 +54.55%
  • Total Put/Call 1.13 +11.88%
  • NYSE Arms 1.55 +40.32
Credit Investor Angst:
  • North American Investment Grade CDS Index 85.76 +2.92%
  • America Energy Sector High-Yield CDS Index 1,515.0 +6.42%
  • European Financial Sector CDS Index 70.92 +.23%
  • Western Europe Sovereign Debt CDS Index 16.73 -1.65%
  • Asia Pacific Sovereign Debt CDS Index 70.98 +1.51%
  • Emerging Market CDS Index 348.01 +1.18%
  • iBoxx Offshore RMB China Corporate High Yield Index 123.91 +.02%
  • 2-Year Swap Spread 11.50 unch.
  • TED Spread 18.75 -6.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -31.25 +2.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.87 -.20%
  • 3-Month T-Bill Yield .27% +3.0 basis points
  • Yield Curve 129.0 unch.
  • China Import Iron Ore Spot $38.65/Metric Tonne -1.05%
  • Citi US Economic Surprise Index -23.60 +.7 point
  • Citi Eurozone Economic Surprise Index 16.70 unch.
  • Citi Emerging Markets Economic Surprise Index 11.0 unch.
  • 10-Year TIPS Spread 1.59 +1.0 basis point
  • # of Months to 1st Fed Rate Hike(Morgan Stanley) 1.12 -.28
Overseas Futures:
  • Nikkei 225 Futures: Indicating -63 open in Japan 
  • China A50 Futures: Indicating -237 open in China
  • DAX Futures: Indicating -5 open in Germany
Portfolio: 
  • Higher: On gains in my biotech/tech sector longs, index hedges and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 25% Net Long

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