Wednesday, February 26, 2014

Stocks Reversing Slightly Lower into Final Hour on Rising Emerging Markets Currency/Debt Angst, Global Growth Worries, Technical Selling, Biotech/Telecom Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 14.39 +5.27%
  • Euro/Yen Carry Return Index 146.20 -.24%
  • Emerging Markets Currency Volatility(VXY) 8.93 +2.53%
  • S&P 500 Implied Correlation 53.42 +2.67%
  • ISE Sentiment Index 106.0 +2.91%
  • Total Put/Call .81 -2.41%
  • NYSE Arms 1.31 +11.87% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 64.88 +.64%
  • European Financial Sector CDS Index 88.54 +1.90%
  • Western Europe Sovereign Debt CDS Index 53.0 unch.
  • Asia Pacific Sovereign Debt CDS Index 103.04 -.19%
  • Emerging Market CDS Index 311.57 +2.63%
  • China Blended Corporate Spread Index 362.42 +1.10%
  • 2-Year Swap Spread 11.25 -2.25 basis points
  • TED Spread 19.25 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -5.75 unch.
Economic Gauges:
  • 3-Month T-Bill Yield .04% unch.
  • Yield Curve 234.0 -5.0 basis points
  • China Import Iron Ore Spot $117.80/Metric Tonne -1.09%
  • Citi US Economic Surprise Index -11.40 +3.2 points
  • Citi Emerging Markets Economic Surprise Index 13.30 -.6 point
  • 10-Year TIPS Spread 2.17 unch.
Overseas Futures:
  • Nikkei Futures: Indicating -55 open in Japan
  • DAX Futures: Indicating -20 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my biotech sector longs and index hedges
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and then added them back
  • Market Exposure: 25% Net Long

No comments: