Friday, February 19, 2016

Stocks Slightly Lower into Afternoon on Earnings Outlook Worries, Oil Decline, Yen Strength, Energy/Healthcare Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Most Sectors Declining
  • Volume: Slightly Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 20.92 -3.33%
  • Euro/Yen Carry Return Index 130.84 -.47%
  • Emerging Markets Currency Volatility(VXY) 12.57 +.40%
  • S&P 500 Implied Correlation 62.35 -.38%
  • ISE Sentiment Index 115.0 +3.60%
  • Total Put/Call .98 -8.41%
  • NYSE Arms 1.61 +4.35
Credit Investor Angst:
  • North American Investment Grade CDS Index 118.82 +1.71%
  • America Energy Sector High-Yield CDS Index 2,301.0 +1.44%
  • European Financial Sector CDS Index 121.25 +3.63%
  • Western Europe Sovereign Debt CDS Index 32.66 +.76%
  • Asia Pacific Sovereign Debt CDS Index 78.67 +.47%
  • Emerging Market CDS Index 376.27 -1.30%
  • iBoxx Offshore RMB China Corporate High Yield Index 123.28 +.03%
  • 2-Year Swap Spread 6.0 -1.25 basis points
  • TED Spread 33.0 -1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -22.75 -.75 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 68.47 -.09%
  • 3-Month T-Bill Yield .29% -1.0 basis point
  • Yield Curve 101.0 -4.0 basis points
  • China Import Iron Ore Spot $48.52/Metric Tonne +2.93%
  • Citi US Economic Surprise Index -37.0 +7.8 points
  • Citi Eurozone Economic Surprise Index -32.30 -.7 point
  • Citi Emerging Markets Economic Surprise Index -7.0 +.4 point
  • 10-Year TIPS Spread 1.26% unch.
  • 9.8% chance of Fed rate hike at April 27 meeting, 22.4% chance at June 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -203 open in Japan 
  • China A50 Futures: Indicating +1 open in China
  • DAX Futures: Indicating -13 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my biotech/medical/tech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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