Monday, September 23, 2013

Stocks Lower into Final Hour on Debt Ceiling Worries, Emerging Markets Debt Concerns, Yen Strength, Homebuilding/Financial Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 14.24 +8.54%
  • Euro/Yen Carry Return Index 139.10 -.76%
  • Emerging Markets Currency Volatility(VXY) 9.72 -1.12%
  • S&P 500 Implied Correlation 49.36 +4.47%
  • ISE Sentiment Index 72.0 -15.29%
  • Total Put/Call .96 -8.57%
  • NYSE Arms 1.41 -11.31% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 80.35 +.57%
  • European Financial Sector CDS Index 139.82 -.38%
  • Western Europe Sovereign Debt CDS Index 87.0 +.10%
  • Emerging Market CDS Index 266.20 +1.45%
  • 2-Year Swap Spread 14.50 -1.0 basis point
  • TED Spread 24.50 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -5.5 +1.0 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .00% -1 basis point
  • Yield Curve 237.0 -3 basis points
  • China Import Iron Ore Spot $132.40/Metric Tonne +.46%
  • Citi US Economic Surprise Index 45.90 +1.5 points
  • Citi Emerging Markets Economic Surprise Index 3.60 +1.5 points
  • 10-Year TIPS Spread 2.26 -2 basis points
Overseas Futures:
  • Nikkei Futures: Indicating -63 open in Japan
  • DAX Futures: Indicating +9 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my index hedges 
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my (EEM) short
  • Market Exposure: Moved to 50% Net Long

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