Tuesday, January 06, 2015

Stocks Falling into Afternoon on Surging European/Emerging Market/US High-Yield Debt Angst, Global Growth Fears, Yen Strength, Transport/Financial Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 22.52 +13.4%
  • Euro/Yen Carry Return Index 147.59 -1.03%
  • Emerging Markets Currency Volatility(VXY) 10.71 -.46%
  • S&P 500 Implied Correlation 71.07 +4.78%
  • ISE Sentiment Index 66.0 -2.94%
  • Total Put/Call 1.21 +2.54%
  • NYSE Arms 1.14 -47.44% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 71.05 +2.45%
  • America Energy Sector High-Yield CDS Index 700.0 +4.99%
  • European Financial Sector CDS Index 71.48 +3.65%
  • Western Europe Sovereign Debt CDS Index 28.45 +5.0%
  • Asia Pacific Sovereign Debt CDS Index 74.66 +5.89%
  • Emerging Market CDS Index 385.67 +1.92%
  • China Blended Corporate Spread Index 359.04 +3.88%
  • 2-Year Swap Spread 23.0 +.25 basis point
  • TED Spread 23.50 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -14.75 +1.0 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .02% +1.0 basis point
  • Yield Curve 132.0 -5.0 basis points
  • China Import Iron Ore Spot $71.49/Metric Tonne +.87%
  • Citi US Economic Surprise Index 22.80 -4.8 points
  • Citi Eurozone Economic Surprise Index 10.90 -1.5 points
  • Citi Emerging Markets Economic Surprise Index -13.90 +.4 point
  • 10-Year TIPS Spread 1.58 -7.0 basis points
Overseas Futures:
  • Nikkei Futures: Indicating -243 open in Japan
  • DAX Futures: Indicating -21 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my index hedges and emerging markets shorts 
  • Disclosed Trades: None
  • Market Exposure: 25% Net Long

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