Monday, January 05, 2015

Stocks Falling into Final Hour on Soaring European/Emerging Markets Debt Angst, Global Growth Fears, Yen Strength, Energy/Transport 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) 20.98 +17.99%
  • Euro/Yen Carry Return Index 149.06 -1.32%
  • Emerging Markets Currency Volatility(VXY) 10.85 +.84%
  • S&P 500 Implied Correlation 68.38 +3.81%
  • ISE Sentiment Index 84.0 +18.31%
  • Total Put/Call 1.14 -5.0%
  • NYSE Arms 2.07 +61.69% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 69.87 +4.25%
  • America Energy Sector High-Yield CDS Index 664.0 +2.43%
  • European Financial Sector CDS Index 68.96 +9.34%
  • Western Europe Sovereign Debt CDS Index 27.09 +8.51%
  • Asia Pacific Sovereign Debt CDS Index 69.90 +2.21%
  • Emerging Market CDS Index 380.71 +10.3%
  • China Blended Corporate Spread Index 345.65 +.93%
  • 2-Year Swap Spread 22.75 unch.
  • TED Spread 23.50 +1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -15.75 -1.0 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .01% -1.0 basis point
  • Yield Curve 137.0 -9.0 basis points
  • China Import Iron Ore Spot $70.87/Metric Tonne -.55%
  • Citi US Economic Surprise Index 27.60 -.7 point
  • Citi Eurozone Economic Surprise Index 12.40 +3.4 points
  • Citi Emerging Markets Economic Surprise Index -14.30 -2.4 points
  • 10-Year TIPS Spread 1.65 -6.0 basis points
Overseas Futures:
  • Nikkei Futures: Indicating -294 open in Japan
  • DAX Futures: Indicating -13 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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