Friday, January 30, 2015

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%
  • NYSE Arms .92 -28.63% 
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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