Tuesday, August 27, 2013

Stocks Sharply Lower into Final Hour on Rising Mideast Unrest, Increasing Eurozone/Emerging Markets Debt Angst, Global Growth Fears, Financial/Transport Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 16.85 +12.41%
  • Euro/Yen Carry Return Index 135.62 -1.33%
  • Emerging Markets Currency Volatility(VXY) 11.40 +3.54%
  • S&P 500 Implied Correlation 54.78 +7.33%
  • ISE Sentiment Index 89.0 -15.24%
  • Total Put/Call 1.01 +13.48%
  • NYSE Arms 1.73 +31.43% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 83.23 +4.62%
  • European Financial Sector CDS Index 150.44 +7.1%
  • Western Europe Sovereign Debt CDS Index 88.63 +4.8%
  • Emerging Market CDS Index 342.50 +5.42%
  • 2-Year Swap Spread 18.25 unch.
  • TED Spread 22.75 -2.0 bps
  • 3-Month EUR/USD Cross-Currency Basis Swap -10.0 -.25 bp
Economic Gauges:
  • 3-Month T-Bill Yield .03% +1 bp
  • Yield Curve 236.0 -6 bps
  • China Import Iron Ore Spot $138.70/Metric Tonne unch.
  • Citi US Economic Surprise Index 26.0 +2.7 points
  • Citi Emerging Markets Economic Surprise Index -23.0 +1.4 points
  • 10-Year TIPS Spread 2.17 +1 bp
Overseas Futures:
  • Nikkei Futures: Indicating -280 open in Japan
  • DAX Futures: Indicating -30 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my biotech/retail/medical/tech sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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