Tuesday, August 11, 2015

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

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Slightly Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 14.01 +14.55%
  • Euro/Yen Carry Return Index 144.14 +.50%
  • Emerging Markets Currency Volatility(VXY) 10.73 +15.4%
  • S&P 500 Implied Correlation 55.05 +2.59%
  • ISE Sentiment Index 54.0 -34.94%
  • Total Put/Call 1.10 +96.43%
  • NYSE Arms 1.50 +256.41% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 75.55 +2.58%
  • America Energy Sector High-Yield CDS Index 1,852.0 -1.76%
  • European Financial Sector CDS Index 77.16 +4.12%
  • Western Europe Sovereign Debt CDS Index 21.79 -3.11%
  • Asia Pacific Sovereign Debt CDS Index 68.59 +6.10%
  • Emerging Market CDS Index 335.94 +2.02%
  • iBoxx Offshore RMB China Corporates High Yield Index 121.09 -.12%
  • 2-Year Swap Spread 25.0 -.25 basis point
  • TED Spread 20.75 -4.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -19.25 unch.
Economic Gauges:
  • 3-Month T-Bill Yield .10% +3.0 basis points
  • Yield Curve 146.0 -5.0 basis points
  • China Import Iron Ore Spot $56.22/Metric Tonne -.32%
  • Citi US Economic Surprise Index -5.94 +.5 point
  • Citi Eurozone Economic Surprise Index 11.9 -4.0 points
  • Citi Emerging Markets Economic Surprise Index -4.8 +1.0 point
  • 10-Year TIPS Spread 1.66 -4.0 basis points
  • # of Months to 1st Fed Rate Hike(Morgan Stanley) 4.29 -.10
Overseas Futures:
  • Nikkei 225 Futures: Indicating -85 open in Japan 
  • China A50 Futures: Indicating -168 open in China
  • DAX Futures: Indicating +3 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my index hedges and emerging markets shorts 
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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