Thursday, February 21, 2013

Stocks Falling into Final Hour on Surging Eurozone Debt Angst, Rising Global Growth Fears, Sequestration Worries, Tech/Commodity Sector Weakness

Broad Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: About Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • VIX 15.50 +5.59%
  • ISE Sentiment Index 91.0 +12.35%
  • Total Put/Call 1.13 unch.
  • NYSE Arms 1.20 -59.90%
Credit Investor Angst:
  • North American Investment Grade CDS Index 888.35 +.91%
  • European Financial Sector CDS Index 150.23 +5.63%
  • Western Europe Sovereign Debt CDS Index 101.19 +2.21%
  • Emerging Market CDS Index 237.31 +.84%
  • 2-Year Swap Spread 15.50 unch.
  • TED Spread 16.75 -.5 bp
  • 3-Month EUR/USD Cross-Currency Basis Swap -18.0 -1.0 bp
Economic Gauges:
  • 3-Month T-Bill Yield .12% unch.
  • Yield Curve 173.0 -2 bps
  • China Import Iron Ore Spot $156.20/Metric Tonne -1.70%
  • Citi US Economic Surprise Index -4.70 -1.0 point
  • 10-Year TIPS Spread 2.53 -2 bps
Overseas Futures:
  • Nikkei Futures: Indicating -51 open in Japan
  • DAX Futures: Indicating +11 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my index hedges and emerging markets shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
  • Market Exposure: 25% Net Long

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