Wednesday, March 26, 2014

Stocks Reversing Lower into Final Hour on Russia/Ukraine Tensions, Global Growth Fears, Yen Strength, Biotech/Tech Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Above Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 14.48 +3.28%
  • Euro/Yen Carry Return Index 146.78 -.49%
  • Emerging Markets Currency Volatility(VXY) 8.71 -1.47%
  • S&P 500 Implied Correlation 55.57 +2.60%
  • ISE Sentiment Index 78.0 -17.0%
  • Total Put/Call 1.03 +36.0%
  • NYSE Arms 1.11 +23.74% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 70.80 -.91%
  • European Financial Sector CDS Index 97.87 -2.99%
  • Western Europe Sovereign Debt CDS Index 46.80 +1.40%
  • Asia Pacific Sovereign Debt CDS Index 93.23 -.86%
  • Emerging Market CDS Index 291.0 -2.93%
  • China Blended Corporate Spread Index 368.88 -1.63%
  • 2-Year Swap Spread 10.75 -3.25 basis points
  • TED Spread 19.75 +.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -2.25 +1.0 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .04% -1.0 basis point
  • Yield Curve 226.0 -5.0 basis points
  • China Import Iron Ore Spot $111.90/Metric Tonne +.09%
  • Citi US Economic Surprise Index -31.30 +.4 point
  • Citi Emerging Markets Economic Surprise Index -7.0 +.1 point
  • 10-Year TIPS Spread 2.15 unch.
Overseas Futures:
  • Nikkei Futures: Indicating -60 open in Japan
  • DAX Futures: Indicating +7 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my medical sector longs and index hedges
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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