Thursday, March 26, 2015

Stocks Finish Modestly Lower on Fed Rate Hike Worries, Earnings Concerns, Euro Weakness, Tech/Transport Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 15.8 +7.0%
  • Euro/Yen Carry Return Index 135.44 -.04%
  • Emerging Markets Currency Volatility(VXY) 10.57 +1.93%
  • S&P 500 Implied Correlation 63.71 -1.34%
  • ISE Sentiment Index 66.0 -8.33%
  • Total Put/Call .97 -.3%
  • NYSE Arms 1.25 +13.84% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 64.49 +.29%
  • America Energy Sector High-Yield CDS Index 1,014.0 -.20%
  • European Financial Sector CDS Index 67.09 -.57%
  • Western Europe Sovereign Debt CDS Index 22.90 +1.64%
  • Asia Pacific Sovereign Debt CDS Index 61.31 -.01%
  • Emerging Market CDS Index 317.73 +.79%
  • iBoxx Offshore RMB China Corporates High Yield Index 114.19 +.08%
  • 2-Year Swap Spread 24.0 -2.25 basis points
  • TED Spread 25.0 +1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -23.25 +.5 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .03% unch.
  • Yield Curve 138.0 +6.0 basis points
  • China Import Iron Ore Spot $55.36/Metric Tonne -.39%
  • Citi US Economic Surprise Index -60.0 +1.9 points
  • Citi Eurozone Economic Surprise Index 52.30 -.8 point
  • Citi Emerging Markets Economic Surprise Index -3.2 +.4 point
  • 10-Year TIPS Spread 1.81 +1.0 basis point
Overseas Futures:
  • Nikkei Futures: Indicating -101 open in Japan
  • DAX Futures: Indicating +33 open in Germany
Portfolio: 
  • Slightly 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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