Thursday, April 28, 2016

Stocks Reversing Substantially Lower into Final Hour on Global Growth Fears, Earnings Outlook Concerns, Yen Strength, Tech/Financial Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Slightly Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 14.1 +2.34%
  • Euro/Yen Carry Return Index 128.24 -2.84%
  • Emerging Markets Currency Volatility(VXY) 10.41 -10.33%
  • S&P 500 Implied Correlation 55.15 +1.53%
  • ISE Sentiment Index 129.0 +12.2%
  • Total Put/Call .92 -8.91%
  • NYSE Arms .87 +22.41
Credit Investor Angst:
  • North American Investment Grade CDS Index 75.83 +2.8%
  • America Energy Sector High-Yield CDS Index 1,020.0 -7.4%
  • European Financial Sector CDS Index 85.62 -1.9%
  • Western Europe Sovereign Debt CDS Index 26.19 +1.0%
  • Asia Pacific Sovereign Debt CDS Index 56.0 -1.4%
  • Emerging Market CDS Index 275.32 +.72%
  • iBoxx Offshore RMB China Corporate High Yield Index 127.30 +.05%
  • 2-Year Swap Spread 13.25 +1.5 basis points
  • TED Spread 39.50 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -22.50 -.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 73.35 +.56%
  • 3-Month T-Bill Yield .22% -2.0 basis points
  • Yield Curve 105.0 +2.0 basis points
  • China Import Iron Ore Spot $62.90/Metric Tonne +2.96%
  • Citi US Economic Surprise Index -29.80 -2.0 points
  • Citi Eurozone Economic Surprise Index -9.30 +4.5 points
  • Citi Emerging Markets Economic Surprise Index 16.80 +.3 point
  • 10-Year TIPS Spread 1.73% +5.0 basis points
  • 26.1% chance of Fed rate hike at July 27 meeting, 42.3% chance at September 21 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -376 open in Japan 
  • China A50 Futures: Indicating -10 open in China
  • DAX Futures: Indicating -29 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my biotech sector longs, index hedges and emerging markets shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
  • Market Exposure: Moved to 25% Net Long

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