Friday, June 28, 2013

Stocks Falling into Final Hour on Rising Eurozone Debt Angst, Rising Global Growth Fears, Technical Selling, Homebuilding/Financial Sector Weakness

Today's Market Take:

Broad Equity Market Tone:
  • Advance/Decline Line: Slightly Higher
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 16.63 -1.36%
  • Euro/Yen Carry Return Index 134.66 +.73%
  • Emerging Markets Currency Volatility(VXY) 10.96 +.74%
  • S&P 500 Implied Correlation 57.76 -2.51%
  • ISE Sentiment Index 93.0 +47.62%
  • Total Put/Call .92 -9.8%
  • NYSE Arms 1.08 -5.82% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 87.03 +.22%
  • European Financial Sector CDS Index 166.84 +2.17%
  • Western Europe Sovereign Debt CDS Index 95.0 unch.
  • Emerging Market CDS Index 319.50 +.81%
  • 2-Year Swap Spread 15.25 +.25 bp
  • TED Spread 24.25 +1.5 bps
  • 3-Month EUR/USD Cross-Currency Basis Swap -10.50 +1.25 bps
Economic Gauges:
  • 3-Month T-Bill Yield .03% -2 bps
  • Yield Curve 212.0 +1 bp
  • China Import Iron Ore Spot $116.50/Metric Tonne +1.04%
  • Citi US Economic Surprise Index -9.0 -1.9 points
  • Citi Emerging Markets Economic Surprise Index -37.10 -.8 point 
  • 10-Year TIPS Spread 1.99 +1 bp
Overseas Futures:
  • Nikkei Futures: Indicating +218 open in Japan
  • DAX Futures: Indicating +11 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my tech sector longs and emerging markets shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
  • Market Exposure: 50% Net Long

No comments: