Friday, February 05, 2016

Stocks Falling into Afternoon on Surging European Debt Angst, Fed Rate Hike Fears, Earnings Outlook Worries, Tech/Biotech Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Above Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 22.71 +3.98%
  • Euro/Yen Carry Return Index 136.10 -.53%
  • Emerging Markets Currency Volatility(VXY) 12.59 +1.12%
  • S&P 500 Implied Correlation 63.0 -.14%
  • ISE Sentiment Index 50.0 -5.66%
  • Total Put/Call .94 +1.08%
  • NYSE Arms .95 +27.62
Credit Investor Angst:
  • North American Investment Grade CDS Index 111.74 +2.03%
  • America Energy Sector High-Yield CDS Index 2,020.0 +.43%
  • European Financial Sector CDS Index 120.29 +11.6%
  • Western Europe Sovereign Debt CDS Index 26.65 +2.84%
  • Asia Pacific Sovereign Debt CDS Index 79.44 -.13%
  • Emerging Market CDS Index 377.88 +.82%
  • iBoxx Offshore RMB China Corporate High Yield Index 122.83 +.30%
  • 2-Year Swap Spread 8.5 +1.0 basis point
  • TED Spread 33.0 +3.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -21.25 -1.5 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 68.63 -.32%
  • 3-Month T-Bill Yield .28% -1.0 basis point
  • Yield Curve 113.0 -2.0 basis points
  • China Import Iron Ore Spot $45.73/Metric Tonne +.46%
  • Citi US Economic Surprise Index -55.7 unch.
  • Citi Eurozone Economic Surprise Index -19.40 -.6 point
  • Citi Emerging Markets Economic Surprise Index -6.20 +2.3 points
  • 10-Year TIPS Spread 1.35% -2.0 basis points
  • 17.3% chance of Fed rate hike at April 27 meeting, 32.2% chance at June 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -255 open in Japan 
  • China A50 Futures: Indicating -176 open in China
  • DAX Futures: Indicating -1 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my tech/biotech sector longs
  • Disclosed Trades: None
  • Market Exposure: 25% Net Long

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