Thursday, February 04, 2016

Stocks Slightly Lower into Final Hour on Surging European Debt Angst, Global Growth Fears, Oil Decline, Drug/Restaurant Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume: Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 22.04 +1.8%
  • Euro/Yen Carry Return Index 136.75 -.05%
  • Emerging Markets Currency Volatility(VXY) 12.49 -1.42%
  • S&P 500 Implied Correlation 63.59 +5.23%
  • ISE Sentiment Index 52.0 -59.06%
  • Total Put/Call .89 +5.95%
  • NYSE Arms .74 -15.32
Credit Investor Angst:
  • North American Investment Grade CDS Index 109.25 +1.18%
  • America Energy Sector High-Yield CDS Index 2,002.0 -1.38%
  • European Financial Sector CDS Index 107.81 +4.0%
  • Western Europe Sovereign Debt CDS Index 25.91 +3.81%
  • Asia Pacific Sovereign Debt CDS Index 79.68 -1.96%
  • Emerging Market CDS Index 374.59 -.42%
  • iBoxx Offshore RMB China Corporate High Yield Index 122.47 +.09%
  • 2-Year Swap Spread 7.5 +1.25 basis points
  • TED Spread 29.25 +1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -19.75 +.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 68.85 +.76%
  • 3-Month T-Bill Yield .29% -4.0 basis points
  • Yield Curve 115.0 -1.0 basis point
  • China Import Iron Ore Spot $45.52/Metric Tonne +1.99%
  • Citi US Economic Surprise Index -55.7 -1.5 points
  • Citi Eurozone Economic Surprise Index -18.80 -.2 point
  • Citi Emerging Markets Economic Surprise Index -8.50 -.1 point
  • 10-Year TIPS Spread 1.37% -1.0 basis point
  • 13.5% chance of Fed rate hike at April 27 meeting, 25.6% chance at June 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -229 open in Japan 
  • China A50 Futures: Indicating -58 open in China
  • DAX Futures: Indicating -17 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my retail sector longs and emerging markets shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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