Wednesday, July 15, 2015

Stocks Reversing Lower into Afternoon on China Bubble-Bursting Fears, Greece Unrest, Fed Rate Hike Concerns, Gaming/Commodity Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 13.29 -.60%
  • Euro/Yen Carry Return Index 141.44 -.32%
  • Emerging Markets Currency Volatility(VXY) 8.46 -2.20%
  • S&P 500 Implied Correlation 59.87 -1.37%
  • ISE Sentiment Index 99.0 -1.98%
  • Total Put/Call .95 -2.06%
  • NYSE Arms 1.16 +55.30% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 67.29 +.24%
  • America Energy Sector High-Yield CDS Index 1,277.0 +1.33%
  • European Financial Sector CDS Index 74.08 -2.0%
  • Western Europe Sovereign Debt CDS Index 23.17 +.83%
  • Asia Pacific Sovereign Debt CDS Index 59.02 -.51%
  • Emerging Market CDS Index 305.49 +1.74%
  • iBoxx Offshore RMB China Corporates High Yield Index 119.81 +.08%
  • 2-Year Swap Spread 24.75 -.5 basis point
  • TED Spread 28.25 -.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -20.0 -1.5 basis points
Economic Gauges:
  • 3-Month T-Bill Yield .01% +2.0 basis points
  • Yield Curve 172.0 -4.0 basis points
  • China Import Iron Ore Spot $50.55/Metric Tonne +.98%
  • Citi US Economic Surprise Index -21.5 +1.4 points
  • Citi Eurozone Economic Surprise Index -1.1 +.6 point
  • Citi Emerging Markets Economic Surprise Index -9.60 +7.6 points
  • 10-Year TIPS Spread 1.85 -2.0 basis points
  • # of Months to 1st Fed Rate Hike(Morgan Stanley) 6.57 +.33
Overseas Futures:
  • Nikkei 225 Futures: Indicating +66 open in Japan 
  • China A50 Futures: Indicating -561 open in China
  • DAX Futures: Indicating -43 open in Germany
Portfolio: 
  • Higher: On gains in my biotech sector longs, index hedges and emerging markets shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

No comments: