Friday, January 23, 2015

Stocks Lower into Final Hour on Global Growth Fears, Earnings Worries, Yen Strength, Healthcare/Metals & Mining Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 16.22 -1.10%
  • Euro/Yen Carry Return Index 138.30 -1.68%
  • Emerging Markets Currency Volatility(VXY) 10.79 +.85%
  • S&P 500 Implied Correlation 64.80 +1.12%
  • ISE Sentiment Index 85.0 -52.51%
  • Total Put/Call 1.25 +38.89%
  • NYSE Arms 1.51 93.08% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 67.22 -1.21%
  • America Energy Sector High-Yield CDS Index 732.0 -1.51%
  • European Financial Sector CDS Index 57.86 -3.49%
  • Western Europe Sovereign Debt CDS Index 23.21 -6.65%
  • Asia Pacific Sovereign Debt CDS Index 67.99 -.67%
  • Emerging Market CDS Index 388.02 -1.38%
  • China Blended Corporate Spread Index n/a
  • 2-Year Swap Spread 25.25 +.5 basis point
  • TED Spread 24.25 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -11.75 +.75 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .02% unch.
  • Yield Curve 131.0 -7.0 basis points
  • China Import Iron Ore Spot $66.42/Metric Tonne -.55%
  • Citi US Economic Surprise Index -1.50 -5.5 points
  • Citi Eurozone Economic Surprise Index -.5 +3.1 points
  • Citi Emerging Markets Economic Surprise Index -10.30 +1.8 points
  • 10-Year TIPS Spread 1.60 -4.0 basis points
Overseas Futures:
  • Nikkei Futures: Indicating -72 open in Japan
  • DAX Futures: Indicating -17 open in Germany
Portfolio: 
  • Higher: On gains in my biotech/retail sector longs and emerging markets shorts 
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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