Tuesday, February 09, 2016

Stocks Slightly Lower into Final Hour on European/Emerging Markets/US High-Yield Debt Angst, Oil Decline, Yen Strength, Commodity/REIT Secotor Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most  Sectors Declining
  • Volume: Slightly Above Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 27.06 +4.08%
  • Euro/Yen Carry Return Index 135.54 unch.
  • Emerging Markets Currency Volatility(VXY) 12.98 +.93%
  • S&P 500 Implied Correlation 63.25 -.28%
  • ISE Sentiment Index 52.0 +4.0%
  • Total Put/Call .97 -16.38%
  • NYSE Arms .76 -26.50
Credit Investor Angst:
  • North American Investment Grade CDS Index 120.97 +.72%
  • America Energy Sector High-Yield CDS Index 2,245.0 +9.17%
  • European Financial Sector CDS Index 133.57 -2.38%
  • Western Europe Sovereign Debt CDS Index 30.95 +8.86%
  • Asia Pacific Sovereign Debt CDS Index 85.69 +2.02%
  • Emerging Market CDS Index 394.93 +1.42%
  • iBoxx Offshore RMB China Corporate High Yield Index 122.93 +.02%
  • 2-Year Swap Spread 7.0 unch.
  • TED Spread 31.50 -4.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -25.75 -2.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 68.29 -.08%
  • 3-Month T-Bill Yield .29% +2.0 basis points
  • Yield Curve 104.0 -4.0 basis points
  • China Import Iron Ore Spot $45.73/Metric Tonne n/a
  • Citi US Economic Surprise Index -52.6 +.9 point
  • Citi Eurozone Economic Surprise Index -27.0 -6.3 points
  • Citi Emerging Markets Economic Surprise Index -5.30 unch.
  • 10-Year TIPS Spread 1.2% -5.0 basis points
  • 2.0% chance of Fed rate hike at April 27 meeting, 11.8% chance at June 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +75 open in Japan 
  • China A50 Futures: Indicating n/a open in China
  • DAX Futures: Indicating -64 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my index hedges and emerging markets shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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