Tuesday, March 15, 2016

Stocks Slightly Lower into Final Hour on Diminished Central Bank Hopes, Rising European/Emerging Markets/US High-Yield Debt Angst, Emerging Market Currency Worries, Biotech/Healthcare Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 17.38 +2.72%
  • Euro/Yen Carry Return Index 131.27 -.65%
  • Emerging Markets Currency Volatility(VXY) 11.56 +.61%
  • S&P 500 Implied Correlation 59.77 +1.82%
  • ISE Sentiment Index 87.0 +22.5%
  • Total Put/Call .88 -4.36%
  • NYSE Arms 1.18 -11.34
Credit Investor Angst:
  • North American Investment Grade CDS Index 88.19 +3.62%
  • America Energy Sector High-Yield CDS Index 1,730.0 -2.78%
  • European Financial Sector CDS Index 82.55 +6.87%
  • Western Europe Sovereign Debt CDS Index 28.26 +2.45%
  • Asia Pacific Sovereign Debt CDS Index 6.41 +2.20%
  • Emerging Market CDS Index 331.09 +2.94%
  • iBoxx Offshore RMB China Corporate High Yield Index 125.63 +.02%
  • 2-Year Swap Spread 6.5 +1.25 basis points
  • TED Spread 30.75 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -22.75 +1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 70.24 -.81%
  • 3-Month T-Bill Yield .34% +2.0 basis points
  • Yield Curve 100.0 unch.
  • China Import Iron Ore Spot $52.88/Metric Tonne -4.81%
  • Citi US Economic Surprise Index -5.10 +2.4 points
  • Citi Eurozone Economic Surprise Index -50.90 +.5 point
  • Citi Emerging Markets Economic Surprise Index -18.60 +2.7 points
  • 10-Year TIPS Spread 1.51% -2.0 basis points
  • 25.1% chance of Fed rate hike at April 27 meeting, 53.6% chance at June 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -202 open in Japan 
  • China A50 Futures: Indicating -88 open in China
  • DAX Futures: Indicating +11 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my medical/biotech/retail sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
  • Market Exposure: Moved to 25% Net Long

No comments: