Thursday, August 28, 2014

Stocks Slightly Lower into Afternoon on Escalating Russia-Ukraine Tensions, Rising European/Emerging Markets Debt Angst, Technical Selling, Retail/Commodity Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Light
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 12.24 +3.90%
  • Euro/Yen Carry Return Index 142.77 -.22%
  • Emerging Markets Currency Volatility(VXY) 6.49 +1.41%
  • S&P 500 Implied Correlation 52.19 +2.88%
  • ISE Sentiment Index 91.0 -20.87%
  • Total Put/Call 1.05 +17.98%
  • NYSE Arms 1.37 +40.38% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 56.60 +1.16%
  • European Financial Sector CDS Index 60.49 +1.0%
  • Western Europe Sovereign Debt CDS Index 30.98 +5.12%
  • Asia Pacific Sovereign Debt CDS Index 66.76 +.76%
  • Emerging Market CDS Index 278.77 +2.67%
  • China Blended Corporate Spread Index 310.77 -.22%
  • 2-Year Swap Spread 21.25 +1.0 basis point
  • TED Spread 21.25 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -15.75 -1.25 basis points
Economic Gauges:
  • 3-Month T-Bill Yield .03% unch.
  • Yield Curve 183.0 -2.0 basis points
  • China Import Iron Ore Spot $87.30/Metric Tonne -1.02%
  • Citi US Economic Surprise Index 32.90 +5.1 points
  • Citi Emerging Markets Economic Surprise Index -13.60 +.1 point
  • 10-Year TIPS Spread 2.14 unch.
Overseas Futures:
  • Nikkei Futures: Indicating -60 open in Japan
  • DAX Futures: Indicating +1 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech sector longs, index hedges and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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