Wednesday, December 30, 2015

Stocks Lower into Afternoon on Emerging Markets Currency Worries, Terrorism Fears, Oil Decline, Commodity/Transport Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Light
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 16.82 +4.60%
  • Euro/Yen Carry Return Index 137.53 +.05%
  • Emerging Markets Currency Volatility(VXY) 11.38 -.09%
  • S&P 500 Implied Correlation 57.34 +.56%
  • ISE Sentiment Index 74.0 -11.90%
  • Total Put/Call 1.02 +24.39%
  • NYSE Arms 1.92 +183.42% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 88.31 -1.54%
  • America Energy Sector High-Yield CDS Index 1,693.0 -.95%
  • European Financial Sector CDS Index 76.98 +1.93%
  • Western Europe Sovereign Debt CDS Index 16.96 -.56%
  • Asia Pacific Sovereign Debt CDS Index 71.49 -.67%
  • Emerging Market CDS Index 357.05 +1.07%
  • iBoxx Offshore RMB China Corporate High Yield Index 123.74 -.02%
  • 2-Year Swap Spread 10.0 +1.75 basis points
  • TED Spread 40.0 +2.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -19.5 +3.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.15 -.60%
  • 3-Month T-Bill Yield .13% -7.0 basis points
  • Yield Curve 122.0 unch.
  • China Import Iron Ore Spot $42.42/Metric Tonne +2.62%
  • Citi US Economic Surprise Index -27.5 +1.2 points
  • Citi Eurozone Economic Surprise Index 14.5 +.3 point
  • Citi Emerging Markets Economic Surprise Index 12.90 -1.9 points
  • 10-Year TIPS Spread 1.56% unch.
  • 53.8% chance of next Fed rate hike at March 16 meeting, 60.9% chance at April 27 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +6 open in Japan 
  • China A50 Futures: Indicating -321 open in China
  • DAX Futures: Indicating -29 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my retail/biotech/medical/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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