Monday, February 08, 2016

Stocks Falling Substantially into Afternoon on Soaring European/Emerging Markets/US High-Yield Debt Angst, Healthcare Price Control Worries, Oil Decline, Healthcare/Construction 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) 26.95 +15.27%
  • Euro/Yen Carry Return Index 134.85 -1.01%
  • Emerging Markets Currency Volatility(VXY) 12.86 +2.14%
  • S&P 500 Implied Correlation 64.98 +3.49%
  • ISE Sentiment Index 45.0 -19.64%
  • Total Put/Call 1.12 +15.46%
  • NYSE Arms 1.10 +10.0% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 122.19 +6.47%
  • America Energy Sector High-Yield CDS Index 2,058.0 +1.26%
  • European Financial Sector CDS Index 136.82 +13.3%
  • Western Europe Sovereign Debt CDS Index 28.42 +5.8%
  • Asia Pacific Sovereign Debt CDS Index 84.10 +4.75%
  • Emerging Market CDS Index 393.74 +3.64%
  • iBoxx Offshore RMB China Corporate High Yield Index 122.90 +.06%
  • 2-Year Swap Spread 11.25 +2.75 basis points
  • TED Spread 33.50 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -23.75 -2.5 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 68.23 -.50%
  • 3-Month T-Bill Yield .27% -1.0 basis point
  • Yield Curve 108.0 -5.0 basis points
  • China Import Iron Ore Spot $45.73/Metric Tonne n/a
  • Citi US Economic Surprise Index -55.7 +2.2 points
  • Citi Eurozone Economic Surprise Index -20.70 -1.3 points
  • Citi Emerging Markets Economic Surprise Index -5.30 +.9 point
  • 10-Year TIPS Spread 1.25% -10.0 basis points
  • 5.9% chance of Fed rate hike at April 27 meeting, 15.3% chance at June 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -739 open in Japan 
  • China A50 Futures: Indicating n/a open in China
  • DAX Futures: Indicating -41 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my index hedges and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 25% Net Long

No comments: