Monday, July 27, 2015

Stocks Falling into Final Hour on China Bubble-Bursting Fears, Global Growth Worries, Rising European/Emerging Markets/US High-Yield Debt Angst, Commodity/Financial Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 15.92 +15.87%
  • Euro/Yen Carry Return Index 142.84 +.58%
  • Emerging Markets Currency Volatility(VXY) 9.31 +1.97%
  • S&P 500 Implied Correlation 61.46 +3.33%
  • ISE Sentiment Index 89.0 +36.92%
  • Total Put/Call 1.20 -13.67%
  • NYSE Arms 1.25 -17.04% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 73.21 +3.07%
  • America Energy Sector High-Yield CDS Index 1,633.0 +.74%
  • European Financial Sector CDS Index 75.23 +5.33%
  • Western Europe Sovereign Debt CDS Index 22.58 +2.26%
  • Asia Pacific Sovereign Debt CDS Index 63.34 +3.09%
  • Emerging Market CDS Index 325.30 +1.56%
  • iBoxx Offshore RMB China Corporates High Yield Index 120.72 +.10%
  • 2-Year Swap Spread 25.25 +.5 basis point
  • TED Spread 26.25 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -19.0 +.5 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .03% unch.
  • Yield Curve 158.0 unch.
  • China Import Iron Ore Spot $52.35/Metric Tonne +1.81%
  • Citi US Economic Surprise Index -10.5 +3.9 points
  • Citi Eurozone Economic Surprise Index -3.7 +1.9 points
  • Citi Emerging Markets Economic Surprise Index -13.6 +.9 point
  • 10-Year TIPS Spread 1.73 -3.0 basis points
  • # of Months to 1st Fed Rate Hike(Morgan Stanley) 5.23 +.06
Overseas Futures:
  • Nikkei 225 Futures: Indicating -203 open in Japan 
  • China A50 Futures: Indicating -136 open in China
  • DAX Futures: Indicating -7 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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