Thursday, February 11, 2016

Stocks Falling into Final Hour on Surging Eurozone/Emerging Markets/US High-Yield Debt Angst, Yen Strength, Oil Decline, Financial/Homebuilding Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 28.77 +9.70%
  • Euro/Yen Carry Return Index 132.96 -.57%
  • Emerging Markets Currency Volatility(VXY) 13.19 +2.41%
  • S&P 500 Implied Correlation 65.11 +1.35%
  • ISE Sentiment Index 87.0 +6.10%
  • Total Put/Call .92 -14.02%
  • NYSE Arms .90 -30.98% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 125.34 +3.1%
  • America Energy Sector High-Yield CDS Index 2,281.0 +.89%
  • European Financial Sector CDS Index 139.13 +8.91%
  • Western Europe Sovereign Debt CDS Index 35.53 +17.5%
  • Asia Pacific Sovereign Debt CDS Index 86.37 +3.77%
  • Emerging Market CDS Index 414.98 +3.21%
  • iBoxx Offshore RMB China Corporate High Yield Index 122.64 -.25%
  • 2-Year Swap Spread 6.0 +1.25 basis points
  • TED Spread 31.50 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -24.50 -.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 68.54 -.4%
  • 3-Month T-Bill Yield .28% -3.0 basis points
  • Yield Curve 99.0 -1.0 basis point
  • China Import Iron Ore Spot $45.25/Metric Tonne -1.05%
  • Citi US Economic Surprise Index -48.9 +2.7 points
  • Citi Eurozone Economic Surprise Index -31.80 -.5 point
  • Citi Emerging Markets Economic Surprise Index -4.10 +1.5 points
  • 10-Year TIPS Spread 1.20% -1.0 basis point
  • 0.0% chance of Fed rate hike at April 27 meeting, 0.0% chance at June 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -478 open in Japan 
  • China A50 Futures: Indicating n/a open in China
  • DAX Futures: Indicating +51 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my index hedges and emerging markets shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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