Monday, January 12, 2015

Stocks Falling into Final Hour on Gobal Growth Fears, Rising Emerging Markets/US High-Yield Debt Angst, Earnings Worries, Energy/Technology Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Slightly Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 19.98 +13.85%
  • Euro/Yen Carry Return Index 146.33 -.15%
  • Emerging Markets Currency Volatility(VXY) 10.49 +1.45%
  • S&P 500 Implied Correlation 65.81 +1.05%
  • ISE Sentiment Index 109.0 +43.43%
  • Total Put/Call 1.08 +12.5%
  • NYSE Arms 1.32 -9.13% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 70.80 +2.08%
  • America Energy Sector High-Yield CDS Index 712.0 +1.3%
  • European Financial Sector CDS Index 69.47 -1.88%
  • Western Europe Sovereign Debt CDS Index 27.88 -4.08%
  • Asia Pacific Sovereign Debt CDS Index 74.01 +.22%
  • Emerging Market CDS Index 393.16 +3.85%
  • China Blended Corporate Spread Index 366.63 +.31%
  • 2-Year Swap Spread 22.75 -.75 basis point
  • TED Spread 23.75 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -14.25 unch.
Economic Gauges:
  • 3-Month T-Bill Yield .02% unch.
  • Yield Curve 136.0 -4.0 basis points
  • China Import Iron Ore Spot $70.30/Metric Tonne -1.24%
  • Citi US Economic Surprise Index 30.80 +.1 point
  • Citi Eurozone Economic Surprise Index .1 -.7 point
  • Citi Emerging Markets Economic Surprise Index -16.20 +.7 point
  • 10-Year TIPS Spread 1.57 -5.0 basis points
Overseas Futures:
  • Nikkei Futures: Indicating -283 open in Japan
  • DAX Futures: Indicating -25 open in Germany
Portfolio: 
  • Higher: On gains in my biotech/medical sector longs, index hedges and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 25% Net Long

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