Tuesday, January 20, 2015

Stocks Lower into Afternoon on Rising Global Growth Fears, Emerging Market/US High-Yield Debt Angst, Earnings Worries, Financial/Homebuilder 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) 20.11 -4.01%
  • Euro/Yen Carry Return Index 143.26 +.49%
  • Emerging Markets Currency Volatility(VXY) 11.05 unch.
  • S&P 500 Implied Correlation 65.34 -3.03%
  • ISE Sentiment Index 70.0 -46.15%
  • Total Put/Call .74 -18.68%
  • NYSE Arms 1.04 +88.37% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 72.44 +1.04%
  • America Energy Sector High-Yield CDS Index 747.0 +.10%
  • European Financial Sector CDS Index 64.16 -.52%
  • Western Europe Sovereign Debt CDS Index 24.96 -.97%
  • Asia Pacific Sovereign Debt CDS Index 74.8 -2.43%
  • Emerging Market CDS Index 389.20 +.54%
  • China Blended Corporate Spread Index n/a
  • 2-Year Swap Spread 24.5 +.5 basis point
  • TED Spread 23.5 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -16.25 +2.0 basis points
Economic Gauges:
  • 3-Month T-Bill Yield .01% -1.0 basis point
  • Yield Curve 131.0 -3.0 basis points
  • China Import Iron Ore Spot $68.16/Metric Tonne +.1%
  • Citi US Economic Surprise Index 4.80 -2.4 points
  • Citi Eurozone Economic Surprise Index -3.3 +.5 point
  • Citi Emerging Markets Economic Surprise Index -13.80 +1.9 points
  • 10-Year TIPS Spread 1.60 unch.
Overseas Futures:
  • Nikkei Futures: Indicating +71 open in Japan
  • DAX Futures: Indicating +11 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my biotech/tech 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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