Stocks Falling into Final Hour on Rising Taper Fears, Yen Strength, Technical Selling, Homebuilding/Biotech Sector Weakness
Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Every Sector Declining
- Volume: Slightly Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 14.84 +6.69%
- Euro/Yen Carry Return Index 147.50 -.04%
- Emerging Markets Currency Volatility(VXY) 9.03 +1.69%
- S&P 500 Implied Correlation 52.15 +1.84%
- ISE Sentiment Index 149.0 +13.74%
- Total Put/Call .97 +29.33%
Credit Investor Angst:
- North American Investment Grade CDS Index 69.42 +2.44%
- European Financial Sector CDS Index 96.50 +1.69%
- Western Europe Sovereign Debt CDS Index 56.0 -8.47%
- Emerging Market CDS Index 282.31 +.12%
- 2-Year Swap Spread 10.0 +1.0 basis point
- TED Spread 17.75 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap .5 -2.0 basis points
Economic Gauges:
- 3-Month T-Bill Yield .07% unch.
- Yield Curve 253.0 +3.0 basis points
- China Import Iron Ore Spot $139.10/Metric Tonne -.22%
- Citi US Economic Surprise Index 34.10 +1.1 points
- Citi Emerging Markets Economic Surprise Index -13.80 +.9 point
- 10-Year TIPS Spread 2.14 +3.0 basis points
Overseas Futures:
- Nikkei Futures: Indicating -155 open in Japan
- DAX Futures: Indicating -15 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging markets shorts
- Market Exposure: 25% Net Long
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