Monday, February 29, 2016

Stocks Reversing Lower into Final Hour on Global Growth Fears, Rising Eurozone Debt Angst, Yen Strength, Biotech/Financial Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Slightly Higher
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 20.04 +1.31%
  • Euro/Yen Carry Return Index 128.34 -1.43%
  • Emerging Markets Currency Volatility(VXY) 11.96 -1.73%
  • S&P 500 Implied Correlation 60.99 +.84%
  • ISE Sentiment Index 122.0 +4.27%
  • Total Put/Call 1.33 +34.34%
  • NYSE Arms 1.07 +16.68
Credit Investor Angst:
  • North American Investment Grade CDS Index 107.70 -2.12%
  • America Energy Sector High-Yield CDS Index 2,412.0 +6.59%
  • European Financial Sector CDS Index 107.91 -3.75%
  • Western Europe Sovereign Debt CDS Index 34.21 +4.75%
  • Asia Pacific Sovereign Debt CDS Index 76.70 +1.25%
  • Emerging Market CDS Index 366.70 -.33%
  • iBoxx Offshore RMB China Corporate High Yield Index 123.99 +.08%
  • 2-Year Swap Spread 5.0 +1.25 basis points
  • TED Spread 32.50 +1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -30.0 -3.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 68.44 +.49%
  • 3-Month T-Bill Yield .32% +1.0 basis point
  • Yield Curve 96.0 unch.
  • China Import Iron Ore Spot $49.62/Metric Tonne +2.75%
  • Citi US Economic Surprise Index -19.40 +2.0 points
  • Citi Eurozone Economic Surprise Index -71.10 -10.7 points
  • Citi Emerging Markets Economic Surprise Index -8.90 -1.0 point
  • 10-Year TIPS Spread 1.45% +2.0 basis points
  • 20.8% chance of Fed rate hike at April 27 meeting, 31.9% chance at June 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +39 open in Japan 
  • China A50 Futures: Indicating +13 open in China
  • DAX Futures: Indicating -78 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my biotech sector longs and emerging market shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
  • Market Exposure: 25% Net Long

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