Thursday, January 15, 2015

Stocks Reversing Lower into Final Hour on Escalating Global Growth Fears, Rising Emerging Markets Debt Angst, Earnings Worries, Homebuilder/Biotech Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Slightly Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 22.42 +4.42%
  • Euro/Yen Carry Return Index 141.33 -2.20%
  • Emerging Markets Currency Volatility(VXY) 10.97 +5.28%
  • S&P 500 Implied Correlation 66.35 +1.84%
  • ISE Sentiment Index 60.0 -45.45%
  • Total Put/Call .99 -12.39%
  • NYSE Arms 1.08 -16.74% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 72.39 +1.25%
  • America Energy Sector High-Yield CDS Index 726.0 -1.97%
  • European Financial Sector CDS Index 67.06 -1.16%
  • Western Europe Sovereign Debt CDS Index 26.85 -2.61%
  • Asia Pacific Sovereign Debt CDS Index 75.92 +.13%
  • Emerging Market CDS Index 387.70 +1.68%
  • China Blended Corporate Spread Index 379.40 +2.25%
  • 2-Year Swap Spread 23.5 +.75 basis point
  • TED Spread 22.75 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -17.75 -3.0 basis points
Economic Gauges:
  • 3-Month T-Bill Yield .03% unch.
  • Yield Curve 133.0 -2.0 basis points
  • China Import Iron Ore Spot $68.63/Metric Tonne +.48%
  • Citi US Economic Surprise Index 11.70 -7.3 points
  • Citi Eurozone Economic Surprise Index -.6 -.4 point
  • Citi Emerging Markets Economic Surprise Index -15.10 -1.4 points
  • 10-Year TIPS Spread 1.58 +1.0 basis point
Overseas Futures:
  • Nikkei Futures: Indicating -183 open in Japan
  • DAX Futures: Indicating +14 open in Germany
Portfolio: 
  • Lower: On losses in my biotech/tech/medical/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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