Tuesday, May 03, 2016

Stocks Falling into Final Hour on China Bubble-Bursting Fears, Emerging Market Currency Worries, Oil Decline, Commodity/Financial Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Slightly Above Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 15.72 +7.08%
  • Euro/Yen Carry Return Index 127.99 -.20%
  • Emerging Markets Currency Volatility(VXY) 10.61 +1.43%
  • S&P 500 Implied Correlation 57.04 +4.60%
  • ISE Sentiment Index 54.0 -29.87%
  • Total Put/Call 1.12 +6.7%
  • NYSE Arms 1.87 +40.1
Credit Investor Angst:
  • North American Investment Grade CDS Index 81.56 +4.75%
  • America Energy Sector High-Yield CDS Index 1,075.0 -.08%
  • European Financial Sector CDS Index 95.40 +6.03%
  • Western Europe Sovereign Debt CDS Index 25.66 +2.35%
  • Asia Pacific Sovereign Debt CDS Index 54.80 +.75%
  • Emerging Market CDS Index 290.57 +2.96%
  • iBoxx Offshore RMB China Corporate High Yield Index 127.03 unch.
  • 2-Year Swap Spread 14.25 unch.
  • TED Spread 42.75 -1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -24.0 -2.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.73 -1.12%
  • 3-Month T-Bill Yield .20% +1.0 basis points
  • Yield Curve 104.0 -3.0 basis points
  • China Import Iron Ore Spot $63.41/Metric Tonne -4.27%
  • Citi US Economic Surprise Index -31.40 +.3 point
  • Citi Eurozone Economic Surprise Index -10.30 +.5 point
  • Citi Emerging Markets Economic Surprise Index 12.60 +1.9 points
  • 10-Year TIPS Spread 1.65% -4.0 basis points
  • 24.3% chance of Fed rate hike at July 27 meeting, 37.9% chance at September 21 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +38 open in Japan 
  • China A50 Futures: Indicating n/a open in China
  • DAX Futures: Indicating +15 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my retail/tech/medical/biotech sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
  • Market Exposure: Moved to 25% Net Long

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