Monday, December 28, 2015

Stocks Lower into Final Hour on China Bubble-Bursting Fears, Rising 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: Light
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 17.16 +8.96%
  • Euro/Yen Carry Return Index 138.03 +.01%
  • Emerging Markets Currency Volatility(VXY) 11.25 -.44%
  • S&P 500 Implied Correlation 58.29 -1.07%
  • ISE Sentiment Index 83.0 -31.97%
  • Total Put/Call 1.34 unch.
  • NYSE Arms 1.77 -2.41
Credit Investor Angst:
  • North American Investment Grade CDS Index 91.43 +1.16%
  • America Energy Sector High-Yield CDS Index 1,690.0 +2.09%
  • European Financial Sector CDS Index 72.06 -.72%
  • Western Europe Sovereign Debt CDS Index 17.21 -.52%
  • Asia Pacific Sovereign Debt CDS Index 72.09 -.75%
  • Emerging Market CDS Index 357.89 +1.80%
  • iBoxx Offshore RMB China Corporate High Yield Index 123.77 +.03%
  • 2-Year Swap Spread 12.25 unch.
  • TED Spread 40.5 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -25.5 +.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.68 -.01%
  • 3-Month T-Bill Yield .20% +1.0 basis point
  • Yield Curve 121.0 -4.0 basis points
  • China Import Iron Ore Spot $41.30/Metric Tonne +.73%
  • Citi US Economic Surprise Index -31.2 +1.0 point
  • Citi Eurozone Economic Surprise Index 13.9 -2.0 points
  • Citi Emerging Markets Economic Surprise Index 15.90 -2.0 points
  • 10-Year TIPS Spread 1.53% -1.0 basis point
  • 56.7% chance of next Fed rate hike at April 27 meeting, 74.2% chance at June 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -28 open in Japan 
  • China A50 Futures: Indicating -63 open in China
  • DAX Futures: Indicating +38 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my retail/biotech sector longs
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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