Wednesday, March 25, 2015

Stocks Falling Substantially into Final Hour on Global Growth Fears, Earnings Worries, Technical Selling, Biotech/Tech Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Slightly Above Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 14.76 +8.37%
  • Euro/Yen Carry Return Index 136.97 +.23%
  • Emerging Markets Currency Volatility(VXY) 10.33 +.39%
  • S&P 500 Implied Correlation 64.64 +2.70%
  • ISE Sentiment Index 80.0 +3.90%
  • Total Put/Call .99 -2.94%
  • NYSE Arms .94 -38.40% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 64.10 +2.09%
  • America Energy Sector High-Yield CDS Index 1,023.0 +.69%
  • European Financial Sector CDS Index 67.85 -.27%
  • Western Europe Sovereign Debt CDS Index 22.53 -.40%
  • Asia Pacific Sovereign Debt CDS Index 61.32 +1.49%
  • Emerging Market CDS Index 316.03 +1.32%
  • iBoxx Offshore RMB China Corporates High Yield Index 114.10 +.06%
  • 2-Year Swap Spread 26.25 -1.0 basis point
  • TED Spread 23.5 -2.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -23.75 unch.
Economic Gauges:
  • 3-Month T-Bill Yield .03% +1.0 basis point
  • Yield Curve 132.0 +1.0 basis points
  • China Import Iron Ore Spot $55.81/Metric Tonne -.09%
  • Citi US Economic Surprise Index -61.90 -4.1 points
  • Citi Eurozone Economic Surprise Index 53.10 +2.1 points
  • Citi Emerging Markets Economic Surprise Index -3.6 -4.3 points
  • 10-Year TIPS Spread 1.80 +3.0 basis points
Overseas Futures:
  • Nikkei Futures: Indicating -166 open in Japan
  • DAX Futures: Indicating +27 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my index hedges and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 25% Net Long

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