Thursday, March 19, 2015

Stocks Lower into Final Hour on Global Growth Fears, European/US High-Yield Debt Angst, Oil Drop, Commodity/Financial Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: About Even
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 14.09 +.86%
  • Euro/Yen Carry Return Index 134.15 -1.62%
  • Emerging Markets Currency Volatility(VXY) 10.70 +1.04%
  • S&P 500 Implied Correlation 59.46 +4.41%
  • ISE Sentiment Index 68.0 -11.69%
  • Total Put/Call .87 -10.31%
  • NYSE Arms 1.80 +112.88% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 63.30 +1.70%
  • America Energy Sector High-Yield CDS Index 1,020.0 +40.1%%
  • European Financial Sector CDS Index 61.80 +4.0%
  • Western Europe Sovereign Debt CDS Index 23.65 +1.52%
  • Asia Pacific Sovereign Debt CDS Index 63.20 -.60%
  • Emerging Market CDS Index 410.92 +.10%
  • iBoxx Offshore RMB China Corporates High Yield Index 114.09 +.08%
  • 2-Year Swap Spread 26.0 +.5 basis point
  • TED Spread 23.25 +.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -23.75 -3.25 basis points
Economic Gauges:
  • 3-Month T-Bill Yield .01% -2.0 basis points
  • Yield Curve 136.0 -3.0 basis points
  • China Import Iron Ore Spot $55.0/Metric Tonne -.87%
  • Citi US Economic Surprise Index -72.10 -.2 point
  • Citi Eurozone Economic Surprise Index 40.30 -.2 point
  • Citi Emerging Markets Economic Surprise Index -1.5 -2.1 points
  • 10-Year TIPS Spread 1.80 +7.0 basis points
Overseas Futures:
  • Nikkei Futures: Indicating -21 open in Japan
  • DAX Futures: Indicating +7 open in Germany
Portfolio: 
  • Higher: On gains in my medical/biotech/retail sector longs and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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