Friday, January 09, 2015

Stocks Falling into Final Hour on Global Growth Fears, Rising European/Emerging Markets Debt Angst, Yen Strength, Retail/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) 17.44 +2.53%
  • Euro/Yen Carry Return Index 146.51 -.59%
  • Emerging Markets Currency Volatility(VXY) 10.34 -2.27%
  • S&P 500 Implied Correlation 64.89 +.22%
  • ISE Sentiment Index 77.0 -42.11%
  • Total Put/Call .94 +13.25%
  • NYSE Arms 1.13 +84.14% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 69.47 +1.41%
  • America Energy Sector High-Yield CDS Index 703.0 -.69%
  • European Financial Sector CDS Index 70.81 +5.10%
  • Western Europe Sovereign Debt CDS Index 29.o7 +2.05%
  • Asia Pacific Sovereign Debt CDS Index 74.46 +5.05%
  • Emerging Market CDS Index 378.82 +3.15%
  • China Blended Corporate Spread Index 365.50 -1.94%
  • 2-Year Swap Spread 23.50 unch.
  • TED Spread 23.25 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -14.25 -.5 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .02% unch.
  • Yield Curve 140.0 -1.0 basis point
  • China Import Iron Ore Spot $71.18/Metric Tonne -.25%
  • Citi US Economic Surprise Index 30.70 +2.2 points
  • Citi Eurozone Economic Surprise Index .8 -2.2 points
  • Citi Emerging Markets Economic Surprise Index -16.90 -2.4 points
  • 10-Year TIPS Spread 1.62 -1.0 basis point
Overseas Futures:
  • Nikkei Futures: Indicating -202 open in Japan
  • DAX Futures: Indicating +19 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my biotech sector longs, index hedges and emerging markets shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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