Wednesday, November 20, 2013

Stocks Dropping into Final Hour on Rising Long-Term Rates, Rising Emerging Markets Debt Angst, Fed Taper Worries, REIT/Commodities Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 13.41 +.15%
  • Euro/Yen Carry Return Index 140.05 -.92%
  • Emerging Markets Currency Volatility(VXY) 8.54 +.95%
  • S&P 500 Implied Correlation 33.41 n/a
  • ISE Sentiment Index 126.0 -18.18%
  • Total Put/Call .96 +18.52%
  • NYSE Arms 1.08 +7.71% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 72.74 -.01%
  • European Financial Sector CDS Index 106.16 -2.77%
  • Western Europe Sovereign Debt CDS Index 62.33 -.26%
  • Emerging Market CDS Index 298.67 +2.13%
  • 2-Year Swap Spread 10.50 -.75 basis point
  • TED Spread 16.25 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -2.75 -.5 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .08% +1 basis points
  • Yield Curve 252.0 +10 basis points
  • China Import Iron Ore Spot $136.40/Metric Tonne +.07%
  • Citi US Economic Surprise Index 6.90 +1.7 points
  • Citi Emerging Markets Economic Surprise Index -14.90 -1.0 point
  • 10-Year TIPS Spread 2.17 -2 basis points
Overseas Futures:
  • Nikkei Futures: Indicating +96 open in Japan
  • DAX Futures: Indicating -51 open in Germany
Portfolio: 
  • Higher: On gains in my biotech sector longs, emerging markets shorts and index hedges
  • Disclosed Trades: None
  • Market Exposure: 25% Net Long

No comments: