Tuesday, February 23, 2016

Stocks Falling into Final Hour on Global Growth Fears, Oil Decline, Yen Strength, Energy/Financial Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 20.62 +6.4%
  • Euro/Yen Carry Return Index 128.94 -.95%
  • Emerging Markets Currency Volatility(VXY) 12.25 +.57%
  • S&P 500 Implied Correlation 63.52 +3.67%
  • ISE Sentiment Index 74.0 -23.71%
  • Total Put/Call 1.12 +17.89%
  • NYSE Arms 1.71 +355.85% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 115.03 +1.32%
  • America Energy Sector High-Yield CDS Index 2,277.0 -2.79%
  • European Financial Sector CDS Index 117.50 +1.37%
  • Western Europe Sovereign Debt CDS Index 32.26 -1.54%
  • Asia Pacific Sovereign Debt CDS Index 78.80 +2.18%
  • Emerging Market CDS Index 368.66 +.66%
  • iBoxx Offshore RMB China Corporate High Yield Index 123.52 +.11%
  • 2-Year Swap Spread 5.75 +.25 basis point
  • TED Spread 31.25 -1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -24.75 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 68.67 -.36%
  • 3-Month T-Bill Yield .32% +2.0 basis points
  • Yield Curve 100.0 unch.
  • China Import Iron Ore Spot $51.60/Metric Tonne +.16%
  • Citi US Economic Surprise Index -35.90 -2.2 points
  • Citi Eurozone Economic Surprise Index -55.60 -3.9 points
  • Citi Emerging Markets Economic Surprise Index -8.20 +.1 point
  • 10-Year TIPS Spread 1.33% +2.0 basis points
  • 17.2% chance of Fed rate hike at April 27 meeting, 27.1% chance at June 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -202 open in Japan 
  • China A50 Futures: Indicating -71 open in China
  • DAX Futures: Indicating -8 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my retail sector longs, index hedges and emerging markets shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
  • Market Exposure: Moved to 25% Net Long

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