Thursday, May 05, 2016

Stocks Reversing Slightly Lower into Afternoon on Global Growth Fears, Earnings Outlook Worries, Technical Selling, Retail/Agriculture Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Slightly Lower
  • Sector Performance: Mixed
  • Volume: Slightly Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 15.75 -1.87%
  • Euro/Yen Carry Return Index 127.93 -.39%
  • Emerging Markets Currency Volatility(VXY) 10.89 unch.
  • S&P 500 Implied Correlation 56.28 -.35%
  • ISE Sentiment Index 79.0 +23.44%
  • Total Put/Call 1.04 -3.7%
  • NYSE Arms 1.46 -10.54
Credit Investor Angst:
  • North American Investment Grade CDS Index 84.51 +1.16%
  • America Energy Sector High-Yield CDS Index 915.0 -18.65%
  • European Financial Sector CDS Index 98.75 -.31%
  • Western Europe Sovereign Debt CDS Index 26.20 +1.93%
  • Asia Pacific Sovereign Debt CDS Index 54.27 -2.17%
  • Emerging Market CDS Index 295.50 +.43%
  • iBoxx Offshore RMB China Corporate High Yield Index 127.20 +.04%
  • 2-Year Swap Spread 14.0 unch.
  • TED Spread 44.5 +1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -23.75 +.75 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.20 +.07%
  • 3-Month T-Bill Yield .19% unch.
  • Yield Curve 104.0 -1.0 basis point
  • China Import Iron Ore Spot $60.25/Metric Tonne +.27%
  • Citi US Economic Surprise Index -30.70 -2.3 points
  • Citi Eurozone Economic Surprise Index -11.70 +.7 point
  • Citi Emerging Markets Economic Surprise Index 11.70 +.4 point
  • 10-Year TIPS Spread 1.63% -1.0 basis point
  • 22.6% chance of Fed rate hike at July 27 meeting, 33.4% chance at September 21 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -52 open in Japan 
  • China A50 Futures: Indicating -52 open in China
  • DAX Futures: Indicating +5 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my biotech/medical/tech sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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