Wednesday, January 14, 2015

Stocks Falling into Final Hour on Escalating Global Growth Fears, Rising US High-Yield Debt Angst, Earnings Worries, Metals&Mining/Financial Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 22.52 +9.53%
  • Euro/Yen Carry Return Index 144.34 -.48%
  • Emerging Markets Currency Volatility(VXY) 10.38 -.29%
  • S&P 500 Implied Correlation 66.67 -.61%
  • ISE Sentiment Index 89.0 +20.27%
  • Total Put/Call 1.15 +29.21%
  • NYSE Arms 1.99 +33.57% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 72.19 +.97%
  • America Energy Sector High-Yield CDS Index 751.0 +2.53%
  • European Financial Sector CDS Index 67.72 +.22%
  • Western Europe Sovereign Debt CDS Index 27.57 -1.04%
  • Asia Pacific Sovereign Debt CDS Index 75.81 +.12%
  • Emerging Market CDS Index 388.65 -1.06%
  • China Blended Corporate Spread Index 371.05 +1.64%
  • 2-Year Swap Spread 22.75 unch.
  • TED Spread 23.25 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -14.75 +.5 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .03% unch.
  • Yield Curve 135.0 -1.0 basis point
  • China Import Iron Ore Spot $68.30/Metric Tonne -.64%
  • Citi US Economic Surprise Index 19.0 -12.0 points
  • Citi Eurozone Economic Surprise Index -.2 -.4 point
  • Citi Emerging Markets Economic Surprise Index -13.70 +.5 point
  • 10-Year TIPS Spread 1.57 +4.0 basis points
Overseas Futures:
  • Nikkei Futures: Indicating -10 open in Japan
  • DAX Futures: Indicating +35 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my biotech sector longs, index hedges and emerging markets shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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