Friday, March 13, 2015

Stocks Falling into Final Hour on Global Growth Fears, Earnings Worries, Oil Plunge, Commodity/Construction Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 16.67 +8.11%
  • Euro/Yen Carry Return Index 132.66 -1.54%
  • Emerging Markets Currency Volatility(VXY) 11.0 +4.27%
  • S&P 500 Implied Correlation 61.22 +3.19%
  • ISE Sentiment Index 71.0 -7.79%
  • Total Put/Call 1.14 +6.54%
  • NYSE Arms 1.72 +70.32% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 66.20 +3.47%
  • America Energy Sector High-Yield CDS Index 733.0 +.36%
  • European Financial Sector CDS Index 55.90 -.75%
  • Western Europe Sovereign Debt CDS Index 21.10 +.98%
  • Asia Pacific Sovereign Debt CDS Index 66.64 +2.69%
  • Emerging Market CDS Index 418.59 +2.64%
  • iBoxx Offshore RMB China Corporates High Yield Index 113.84 +.06%
  • 2-Year Swap Spread 27.75 +.25 basis point
  • TED Spread 25.0 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -19.25 -1.25 basis points
Economic Gauges:
  • 3-Month T-Bill Yield .03% +1.0 basis point
  • Yield Curve 147.0 +3.0 basis points
  • China Import Iron Ore Spot $57.66/Metric Tonne -.53%
  • Citi US Economic Surprise Index -60.10 -4.5 points
  • Citi Eurozone Economic Surprise Index 44.1 -1.2 points
  • Citi Emerging Markets Economic Surprise Index 5.60 +.7 point
  • 10-Year TIPS Spread 1.69 -3.0 basis points
Overseas Futures:
  • Nikkei Futures: Indicating -25 open in Japan
  • DAX Futures: Indicating +35 open in Germany
Portfolio: 
  • Lower: On losses in my medical/tech sector longs 
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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