Friday, May 13, 2016

Stocks Lower into Afternoon on Global Growth Concerns, Oil Decline, Yen Strength, Road & Rail/Financial Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Slightly Higher
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 14.36 -.35%
  • Euro/Yen Carry Return Index 128.45 -.89%
  • Emerging Markets Currency Volatility(VXY) 10.84 +1.12%
  • S&P 500 Implied Correlation 53.38 -.35%
  • ISE Sentiment Index 88.0 -6.38%
  • Total Put/Call .92 -27.56%
  • NYSE Arms 1.75 +22.26
Credit Investor Angst:
  • North American Investment Grade CDS Index 81.49 +.53%
  • America Energy Sector High-Yield CDS Index 924.0 -4.29%
  • European Financial Sector CDS Index 97.87 +.51%
  • Western Europe Sovereign Debt CDS Index 25.87 +.79%
  • Asia Pacific Sovereign Debt CDS Index 53.38 +.68%
  • Emerging Market CDS Index 289.17 +.46%
  • iBoxx Offshore RMB China Corporate High Yield Index 127.93 unch.
  • 2-Year Swap Spread 13.25 +.25 basis point
  • TED Spread 36.25 -1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -24.0 -1.5 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 71.62 -.62%
  • 3-Month T-Bill Yield .27% unch.
  • Yield Curve 96.0 -4.0 basis points
  • China Import Iron Ore Spot $54.54/Metric Tonne -.93%
  • Citi US Economic Surprise Index -33.0 +5.5 points
  • Citi Eurozone Economic Surprise Index -7.4 +2.5 points
  • Citi Emerging Markets Economic Surprise Index .1 -3.5 points
  • 10-Year TIPS Spread 1.62% -1.0 basis point
  • 17.4% chance of Fed rate hike at July 27 meeting, 35.6% chance at September 21 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +18 open in Japan 
  • China A50 Futures: Indicating -69 open in China
  • DAX Futures: Indicating -39 open in Germany
Portfolio: 
  • Higher: On gains in my biotech/tech sector longs and emerging markets shorts 
  • Disclosed Trades: None
  • Market Exposure: 25% Net Long

1 comment:

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