Wednesday, January 28, 2015

Stocks Reversing Lower into Final Hour on Surging Eurozone Debt Angst, Global Growth Fears, Technical Selling, Commodity/Financial Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most sectors declining
  • Volume: Slightly Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 18.44 +7.08%
  • Euro/Yen Carry Return Index 139.10 -.67%
  • Emerging Markets Currency Volatility(VXY) 9.74 -3.37%
  • S&P 500 Implied Correlation 67.66 +2.05%
  • ISE Sentiment Index 93.0 -12.28%
  • Total Put/Call .95 -12.04%
  • NYSE Arms 1.91 +37.80% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 67.75 +1.22%
  • America Energy Sector High-Yield CDS Index 737.0 +.06%
  • European Financial Sector CDS Index 64.06 +6.96%
  • Western Europe Sovereign Debt CDS Index 24.65 +4.18%
  • Asia Pacific Sovereign Debt CDS Index 68.47 -2.89%
  • Emerging Market CDS Index 398.02 +1.33%
  • iBoxx Offshore RMB China Corporates High Yield Index 112.88 +.53%
  • 2-Year Swap Spread 25.25 +.25 basis point
  • TED Spread 24.0 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -12.5 -.75 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .02% unch.
  • Yield Curve 124.0 -7.0 basis points
  • China Import Iron Ore Spot $63.09/Metric Tonne -.65%
  • Citi US Economic Surprise Index -4.0 -.3 point
  • Citi Eurozone Economic Surprise Index 1.60 +1.6 points
  • Citi Emerging Markets Economic Surprise Index -7.40 +3.6 points
  • 10-Year TIPS Spread 1.61 -4.0 basis points
Overseas Futures:
  • Nikkei Futures: Indicating -115 open in Japan
  • DAX Futures: Indicating -35 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech sector longs, index hedges and emerging markets shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
  • Market Exposure: Moved to 25% Net Long

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