Tuesday, March 31, 2015

Stocks Falling into Final Hour on Global Growth Fears, European/Emerging Markets Debt Angst, Euro/Oil Weakness, Biotech/Metals & Mining Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 15.03 +3.58%
  • Euro/Yen Carry Return Index 134.54 -.97%
  • Emerging Markets Currency Volatility(VXY) 10.55 -.28%
  • S&P 500 Implied Correlation 64.67 +1.51%
  • ISE Sentiment Index 72.0 -15.29%
  • Total Put/Call 1.04 +14.29%
  • NYSE Arms 1.18 +137.83% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 63.94 -.08%
  • America Energy Sector High-Yield CDS Index 1,049.0 +2.27%
  • European Financial Sector CDS Index 66.23 +.53%
  • Western Europe Sovereign Debt CDS Index 22.19 +2.75%
  • Asia Pacific Sovereign Debt CDS Index 59.99 -.83%
  • Emerging Market CDS Index 320.61 +1.41%
  • iBoxx Offshore RMB China Corporates High Yield Index 114.35 +.04%
  • 2-Year Swap Spread 25.0 +.75 basis point
  • TED Spread 25.0 +1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -25.0 -1.5 basis points
Economic Gauges:
  • 3-Month T-Bill Yield .02% unch.
  • Yield Curve 138.0 unch.
  • China Import Iron Ore Spot $51.35/Metric Tonne -2.54%
  • Citi US Economic Surprise Index -58.6 +2.2 points
  • Citi Eurozone Economic Surprise Index 58.40 -6.5 points
  • Citi Emerging Markets Economic Surprise Index .3 +1.1 points
  • 10-Year TIPS Spread 1.77 +2.0 basis points
Overseas Futures:
  • Nikkei Futures: Indicating +99 open in Japan
  • DAX Futures: Indicating +19 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my medical/biotech/tech sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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