Friday, March 06, 2015

Stocks Falling Substantially into Final Hour on Fed Rate Hike Fears, Emerging Markets/US High-Yield Debt Angst, Earnings Worries, Homebuilding/Utility Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Slightly Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 15.59 +11.04%
  • Euro/Yen Carry Return Index 136.91 -1.07%
  • Emerging Markets Currency Volatility(VXY) 10.38 +2.57%
  • S&P 500 Implied Correlation 61.37 +6.41%
  • ISE Sentiment Index 59.0 +63.9%
  • Total Put/Call 1.22 +28.42%
  • NYSE Arms .72 -41.04% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 61.77 +2.75%
  • America Energy Sector High-Yield CDS Index 690.0 +.65%
  • European Financial Sector CDS Index 54.44 +3.27%
  • Western Europe Sovereign Debt CDS Index 20.39 -5.14%
  • Asia Pacific Sovereign Debt CDS Index 63.01 +1.65%
  • Emerging Market CDS Index 389.84 +1.06%
  • iBoxx Offshore RMB China Corporates High Yield Index 114.17 +.12%
  • 2-Year Swap Spread 25.75 unch.
  • TED Spread 25.75 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -24.25 -1.5 basis points
Economic Gauges:
  • 3-Month T-Bill Yield .01% unch.
  • Yield Curve 152.0 +5.0 basis points
  • China Import Iron Ore Spot $59.49/Metric Tonne -.40%
  • Citi US Economic Surprise Index -47.50 +7.5 points
  • Citi Eurozone Economic Surprise Index 49.3 -.2 point
  • Citi Emerging Markets Economic Surprise Index -5.90 unch.
  • 10-Year TIPS Spread 1.84 unch.
Overseas Futures:
  • Nikkei Futures: Indicating -130 open in Japan
  • DAX Futures: Indicating -35 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my tech/biotech/medical/retail sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
  • Market Exposure: Moved to 25% Net Long

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