Tuesday, January 27, 2015

Stocks Falling into Final Hour on Global Growth Fears, Rising Eurozone Debt Angst, Earnings Worries, Tech/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) 17.19 +10.79%
  • Euro/Yen Carry Return Index 139.78 +.57%
  • Emerging Markets Currency Volatility(VXY) 10.07 -.20%
  • S&P 500 Implied Correlation 66.82 +2.34%
  • ISE Sentiment Index 106.0 +45.21%
  • Total Put/Call 1.05 +16.67%
  • NYSE Arms 1.32 +43.80% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 66.97 +1.80%
  • America Energy Sector High-Yield CDS Index 739.0 +1.84%
  • European Financial Sector CDS Index 59.78 +4.03%
  • Western Europe Sovereign Debt CDS Index 23.67 +.38%
  • Asia Pacific Sovereign Debt CDS Index 70.51 +1.13%
  • Emerging Market CDS Index 392.78 +.33%
  • iBoxx Offshore RMB China Corporates High Yield Index 112.29 +.46%
  • 2-Year Swap Spread 25.0 -.25 basis point
  • TED Spread 24.0 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -11.75 -1.0 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .02% +1.0 basis point
  • Yield Curve 131.0 unch.
  • China Import Iron Ore Spot $63.50/Metric Tonne -.06%
  • Citi US Economic Surprise Index -3.70 unch.
  • Citi Eurozone Economic Surprise Index 0.0 +.4 point
  • Citi Emerging Markets Economic Surprise Index -11.0 -.5 point
  • 10-Year TIPS Spread 1.65 +4.0 basis points
Overseas Futures:
  • Nikkei Futures: Indicating -123 open in Japan
  • DAX Futures: Indicating +43 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my tech/medical sector longs 
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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