Stocks Reversing Lower into Final Hour on Surging Eurozone/Emerging Markets Debt Angst, Fed Rate Hike Worries, Global Growth Fears, Homebuilding/Transport 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) 19.47 +3.78%
- Euro/Yen Carry Return Index 138.72 -.81%
- Emerging Markets Currency Volatility(VXY) 10.99 +6.29%
- S&P 500 Implied Correlation 65.70 -1.22%
- ISE Sentiment Index 90.0 +25.0%
- Total Put/Call 1.07 -5.31%
Credit Investor Angst:
- North American Investment Grade CDS Index 69.14 +1.98%
- America Energy Sector High-Yield CDS Index 761.0 +.74%
- European Financial Sector CDS Index 68.07 +5.84%
- Western Europe Sovereign Debt CDS Index 25.17 -1.10%
- Asia Pacific Sovereign Debt CDS Index 70.22 +1.78%
- Emerging Market CDS Index 403.62 +1.72%
- iBoxx Offshore RMB China Corporates High Yield Index 113.48 +.41%
- 2-Year Swap Spread 24.0 +1.25 basis points
- TED Spread 24.5 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -13.75 +.75 basis point
Economic Gauges:
- 3-Month T-Bill Yield .01% unch.
- Yield Curve 120.0 -4.0 basis points
- China Import Iron Ore Spot $62.21/Metric Tonne -1.68%
- Citi US Economic Surprise Index -4.0 -5.1 points
- Citi Eurozone Economic Surprise Index 10.0 +12.3 points
- Citi Emerging Markets Economic Surprise Index -4.80 +1.6 points
- 10-Year TIPS Spread 1.64 +1.0 basis point
Overseas Futures:
- Nikkei Futures: Indicating -45 open in Japan
- DAX Futures: Indicating +5 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 and took some profits in my biotech longs
- Market Exposure: Moved to 25% Net Long
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