Monday, July 29, 2013

Stocks Slightly Lower into Final Hour on Rising Asian Debt Angst, Rate Worries, Rising Global Growth Fears, Energy/Financial Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Light
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.42 +5.5%
  • Euro/Yen Carry Return Index 135.28 -.59%
  • Emerging Markets Currency Volatility(VXY) 9.25 +1.54%
  • S&P 500 Implied Correlation 50.40 +.98%
  • ISE Sentiment Index 109.0 +12.37%
  • Total Put/Call .81 -19.0%
  • NYSE Arms .92 -16.11% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 76.11 +2.60%
  • European Financial Sector CDS Index 148.46 +.87%
  • Western Europe Sovereign Debt CDS Index 88.15 -.96%
  • Emerging Market CDS Index 308.76 +2.33%
  • 2-Year Swap Spread 16.25 unch.
  • TED Spread 25.0 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -9.5 -.75 bp
Economic Gauges:
  • 3-Month T-Bill Yield .02% unch.
  • Yield Curve 227.0 +2 bps
  • China Import Iron Ore Spot $131.70/Metric Tonne -.68%
  • Citi US Economic Surprise Index -5.50 -2.1 points
  • Citi Emerging Markets Economic Surprise Index -27.10 +2.9 points
  • 10-Year TIPS Spread 2.14 unch.
Overseas Futures:
  • Nikkei Futures: Indicating -103 open in Japan
  • DAX Futures: Indicating +14 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my biotech/tech sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
  • Market Exposure: Moved to 50% Net Long

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