Tuesday, March 11, 2014

Stocks Reversing Lower into Final Hour on Emerging Markets Debt Angst, Russia/Ukraine Tensions, Yen Strength, Financial/Tech Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Above Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 14.57 +2.61%
  • Euro/Yen Carry Return Index 148.91 -.37%
  • Emerging Markets Currency Volatility(VXY) 8.85 +.80%
  • S&P 500 Implied Correlation 55.13 +1.58%
  • ISE Sentiment Index 81.0 -25.69%
  • Total Put/Call .84 +1.20%
  • NYSE Arms 1.20 -8.15% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 64.07 +1.04%
  • European Financial Sector CDS Index 86.92 -.40%
  • Western Europe Sovereign Debt CDS Index 47.75 -1.11%
  • Asia Pacific Sovereign Debt CDS Index 97.37 -1.34%
  • Emerging Market CDS Index 318.43 +2.06%
  • China Blended Corporate Spread Index 363.62 +2.43%
  • 2-Year Swap Spread 13.75 unch.
  • TED Spread 19.25 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -4.0 -.25 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .04% unch.
  • Yield Curve 239.0 -2.0 basis points
  • China Import Iron Ore Spot $104.90/Metric Tonne +.19%
  • Citi US Economic Surprise Index -33.60 -2.0 points
  • Citi Emerging Markets Economic Surprise Index 3.0 +2.1 points
  • 10-Year TIPS Spread 2.21 -1.0 basis point
Overseas Futures:
  • Nikkei Futures: Indicating -214 open in Japan
  • DAX Futures: Indicating -23 open in Germany
Portfolio: 
  • Slightly Higher: On gains in index hedges and emerging markets shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

No comments: