Tuesday, March 17, 2015

Stocks Modestly Lower into Final Hour on Global Growth Fears, European/US High-Yield Debt Angst, Oil Decline, Homebuilding/Energy Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 15.91 +1.92%
  • Euro/Yen Carry Return Index 134.31 +.31%
  • Emerging Markets Currency Volatility(VXY) 10.76 -1.37%
  • S&P 500 Implied Correlation 60.04 +1.16%
  • ISE Sentiment Index 78.0 +8.33%
  • Total Put/Call 1.02 +2.0%
  • NYSE Arms 1.09 +114.87% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 65.44 +.36%
  • America Energy Sector High-Yield CDS Index 781.0 +3.65%
  • European Financial Sector CDS Index 56.86 +1.89%
  • Western Europe Sovereign Debt CDS Index 21.75 +4.42%
  • Asia Pacific Sovereign Debt CDS Index 66.10 -.14%
  • Emerging Market CDS Index 421.38 +.28%
  • iBoxx Offshore RMB China Corporates High Yield Index 113.93 -.07%
  • 2-Year Swap Spread 27.0 unch.
  • TED Spread 23.50 -1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -20.25 unch.
Economic Gauges:
  • 3-Month T-Bill Yield .05% +2.0 basis points
  • Yield Curve 139.0 -6.0 basis points
  • China Import Iron Ore Spot $56.95/Metric Tonne -3.31%
  • Citi US Economic Surprise Index -72.0 -8.2 points
  • Citi Eurozone Economic Surprise Index 40.80 +1.2 points
  • Citi Emerging Markets Economic Surprise Index 2.30 -1.5 points
  • 10-Year TIPS Spread 1.65 -1.0 basis point
Overseas Futures:
  • Nikkei Futures: Indicating -38 open in Japan
  • DAX Futures: Indicating +22 open in Germany
Portfolio: 
  • Higher: On gains in my biotech/retail/tech sector longs 
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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