Thursday, June 09, 2016

Stocks Lower into Afternoon on Global Growth Fears, Rising European/Emerging Markets/US High-Yield Debt Angst, Oil Decline, Biotech/Financial Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 14.49 +2.91%
  • Euro/Yen Carry Return Index 126.37 -.78%
  • Emerging Markets Currency Volatility(VXY) 10.10 +1.61%
  • S&P 500 Implied Correlation 53.10 -.09%
  • ISE Sentiment Index 86.0 -36.76%
  • Total Put/Call .93 +8.14%
  • NYSE Arms 1.21 +25.47
Credit Investor Angst:
  • North American Investment Grade CDS Index 75.87 +3.05%
  • America Energy Sector High-Yield CDS Index 736.0 -3.14%
  • European Financial Sector CDS Index 97.13 +2.08%
  • Western Europe Sovereign Debt CDS Index 26.27 +2.62%
  • Asia Pacific Sovereign Debt CDS Index 51.95 +1.11%
  • Emerging Market CDS Index 282.86 +1.73%
  • iBoxx Offshore RMB China Corporate High Yield Index 129.21 +.02%
  • 2-Year Swap Spread 14.0 -.25 basis point
  • TED Spread 42.25 +2.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -29.0 -.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.50 -.46%
  • 3-Month T-Bill Yield .25% +1.0 basis point
  • Yield Curve 90.0 -3.0 basis points
  • China Import Iron Ore Spot $52.56/Metric Tonne unch.
  • Citi US Economic Surprise Index -23.20 +1.2 points
  • Citi Eurozone Economic Surprise Index -3.30 +1.7 points
  • Citi Emerging Markets Economic Surprise Index 8.90 -.1 point
  • 10-Year TIPS Spread 1.59% -2.0 basis points
  • 21.6% chance of Fed rate hike at July 27 meeting, 36.9% chance at September 21 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -63 open in Japan 
  • China A50 Futures: Indicating n/a open in China
  • DAX Futures: Indicating -7 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my retail/biotech sector longs 
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) shorts
  • Market Exposure: Moved to 25% Net Long

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