Wednesday, December 11, 2013

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%
  • NYSE Arms 1.40 +25.36% 
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
  • Disclosed Trades: None
  • Market Exposure: 25% Net Long

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