Wednesday, January 06, 2016

Stocks Falling Substantially into Final Hour on China-Bubble Bursting Fears, Emerging Markets Currency Worries, Oil Decline, Energy/Transport Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Slightly Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 20.74 +7.24%
  • Euro/Yen Carry Return Index 133.47 -.25%
  • Emerging Markets Currency Volatility(VXY) 11.31 +.18%
  • S&P 500 Implied Correlation 62.08 +4.23%
  • ISE Sentiment Index 76.0 -1.30%
  • Total Put/Call .96 -1.24%
  • NYSE Arms 1.82 +42.95% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 92.69 +2.32%
  • America Energy Sector High-Yield CDS Index 1,552.0 -3.73%
  • European Financial Sector CDS Index 78.13 +1.30%
  • Western Europe Sovereign Debt CDS Index 16.40 -1.26%
  • Asia Pacific Sovereign Debt CDS Index 75.22 +2.94%
  • Emerging Market CDS Index 360.14 +1.68%
  • iBoxx Offshore RMB China Corporate High Yield Index 123.9 -.01%
  • 2-Year Swap Spread 10.25 -1.25 basis points
  • TED Spread 40.75 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -20.75 -.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 68.13 -.64%
  • 3-Month T-Bill Yield .20% unch.
  • Yield Curve 119.0 -3.0 basis points
  • China Import Iron Ore Spot $42.91/Metric Tonne -.46%
  • Citi US Economic Surprise Index -29.3 +5.5 points
  • Citi Eurozone Economic Surprise Index 17.3 +.1 point
  • Citi Emerging Markets Economic Surprise Index 5.90 -.3 point
  • 10-Year TIPS Spread 1.56% -2.0 basis points
  • 44.2% chance of Fed rate hike at March 16 meeting, 50.4% chance at April 27 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -226 open in Japan 
  • China A50 Futures: Indicating -334 open in China
  • DAX Futures: Indicating -64 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my index hedges and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 25% Net Long

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