Tuesday, October 15, 2013

Stocks Lower into Final Hour on Rising US Debt Ceiling/Shutdown Worries, Earnings Concerns, Technical Selling, Homebuilding/Defense Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 17.89 +11.33%
  • Euro/Yen Carry Return Index 138.69 -.54%
  • Emerging Markets Currency Volatility(VXY) 8.88 -1.33%
  • S&P 500 Implied Correlation 50.41 +12.25%
  • ISE Sentiment Index 68.0 -26.88%
  • Total Put/Call 1.01 +14.77%
  • NYSE Arms .73 +9.54% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 77.35 +.74%
  • European Financial Sector CDS Index 120.71 -5.77%
  • Western Europe Sovereign Debt CDS Index 73.0 +.69%
  • Emerging Market CDS Index 268.33 -2.62%
  • 2-Year Swap Spread 12.75 -1.0 basis point
  • TED Spread 14.75 -4.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -8.0 +1.25 basis points
Economic Gauges:
  • 3-Month T-Bill Yield .10% +4 basis points
  • Yield Curve 237.0 +4 basis points
  • China Import Iron Ore Spot $133.60/Metric Tonne n/a
  • Citi US Economic Surprise Index 30.90 -1.7 points
  • Citi Emerging Markets Economic Surprise Index -8.80 +1.4 points
  • 10-Year TIPS Spread 2.21 unch.
Overseas Futures:
  • Nikkei Futures: Indicating +7 open in Japan
  • DAX Futures: Indicating -17 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my index hedges and emerging markets shorts 
  • Disclosed Trades: Added to my  my (IWM)/(QQQ) hedges
  • Market Exposure: 25% Net Long

No comments: