Thursday, February 18, 2016

Stocks Reversing Lower into Final Hour on Earnings Outlook Worries, Oil Reversal, Yen Strength, Biotech/Bank Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Slightly Above Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 21.63 -3.05%
  • Euro/Yen Carry Return Index 131.74 -.69%
  • Emerging Markets Currency Volatility(VXY) 12.57 -1.72%
  • S&P 500 Implied Correlation 61.91 -3.70%
  • ISE Sentiment Index 115.0 +22.34%
  • Total Put/Call 1.14 unch.
  • NYSE Arms 1.49 +143.91% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 116.23 -.60%
  • America Energy Sector High-Yield CDS Index 2,241.0 -2.31%
  • European Financial Sector CDS Index 117.0 +3.54%
  • Western Europe Sovereign Debt CDS Index 32.18 -10.16%
  • Asia Pacific Sovereign Debt CDS Index 78.14 +.81%
  • Emerging Market CDS Index 379.56 -.69%
  • iBoxx Offshore RMB China Corporate High Yield Index 123.24 +.12%
  • 2-Year Swap Spread 7.25 +1.75 basis points
  • TED Spread 31.75 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -23.5 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 68.52 -.23%
  • 3-Month T-Bill Yield .30% unch.
  • Yield Curve 105.0 -2.0 basis points
  • China Import Iron Ore Spot $47.14/Metric Tonne +1.70%
  • Citi US Economic Surprise Index -44.8 +2.6 points
  • Citi Eurozone Economic Surprise Index -31.60 -.5 point
  • Citi Emerging Markets Economic Surprise Index -7.4 +1.7 points
  • 10-Year TIPS Spread 1.26% -3.0 basis points
  • 9.8% chance of Fed rate hike at April 27 meeting, 17.0% chance at June 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -116 open in Japan 
  • China A50 Futures: Indicating -37 open in China
  • DAX Futures: Indicating +1 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my biotech sector longs
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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