Friday, December 12, 2014

Stocks Falling into Final Hour on Surging Eurozone/Emerging Markets/US High-Yield Debt Angst, Rising Global Growth Fears, Yen Strength, Commodity/Financial Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 20.55 +2.43%
  • Euro/Yen Carry Return Index 154.44 +.43%
  • Emerging Markets Currency Volatility(VXY) 9.75 +3.39%
  • S&P 500 Implied Correlation 70.52 -2.03%
  • ISE Sentiment Index 74.0 +37.04%
  • Total Put/Call 1.01 +3.06%
  • NYSE Arms 1.24 +26.76% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 71.82 +4.37% 
  • America Energy Sector High-Yield CDS Index 652.0 +3.09%
  • European Financial Sector CDS Index 65.26 +5.72%
  • Western Europe Sovereign Debt CDS Index 31.32 +1.95%
  • Asia Pacific Sovereign Debt CDS Index 70.24 +5.73%
  • Emerging Market CDS Index 383.59 +8.45%
  • China Blended Corporate Spread Index 333.47 -.90%
  • 2-Year Swap Spread 24.0 +1.0 basis point
  • TED Spread 22.0 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -8.0 +.5 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .02% -1.0 basis point
  • Yield Curve 155.0 -3.0 basis points
  • China Import Iron Ore Spot $68.99/Metric Tonne -.55%
  • Citi US Economic Surprise Index 29.60 +4.8 points
  • Citi Eurozone Economic Surprise Index -20.30 +.3 point
  • Citi Emerging Markets Economic Surprise Index -15.50 -9.3 points
  • 10-Year TIPS Spread 1.63 -8.0 basis points
Overseas Futures:
  • Nikkei Futures: Indicating +14 open in Japan
  • DAX Futures: Indicating -5 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my retail sector longs, index hedges and emerging markets shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
  • Market Exposure: 25% Net Long

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