Monday, August 24, 2015

Stocks Falling Substantially into Final Hour on China-Bubble Bursting Fears, Surging European/Emerging Markets/US High-Yield Debt Angst, Emerging Market Currency Worries, Energy/Financial Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Every Sector Declining
  • Volume: Heavy
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 35.11 +25.26%
  • Euro/Yen Carry Return Index 143.82 -.96%
  • Emerging Markets Currency Volatility(VXY) 12.35 +8.33%
  • S&P 500 Implied Correlation 57.99 +.09%
  • ISE Sentiment Index 43.0 -28.33%
  • Total Put/Call 1.18 -29.76%
  • NYSE Arms 1.49 -48.54% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 86.96 +5.31%
  • America Energy Sector High-Yield CDS Index 1,878.0 +.4%
  • European Financial Sector CDS Index 89.57 +6.85%
  • Western Europe Sovereign Debt CDS Index 24.67 +4.29%
  • Asia Pacific Sovereign Debt CDS Index 85.85 +5.69%
  • Emerging Market CDS Index 388.40 +9.41%
  • iBoxx Offshore RMB China Corporates High Yield Index 118.14 -.31%
  • 2-Year Swap Spread 21.25 -1.5 basis points
  • TED Spread 30.25 -1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -18.0 unch.
Economic Gauges:
  • 3-Month T-Bill Yield .02% unch.
  • Yield Curve 145.0 +2.0 basis points
  • China Import Iron Ore Spot $53.28/Metric Tonne -5.03%
  • Citi US Economic Surprise Index -18.6 -.4 point
  • Citi Eurozone Economic Surprise Index 15.6 -1.3 points
  • Citi Emerging Markets Economic Surprise Index -8.5 +.1 point
  • 10-Year TIPS Spread 1.5 unch.
  • # of Months to 1st Fed Rate Hike(Morgan Stanley) 4.49 +.47
Overseas Futures:
  • Nikkei 225 Futures: Indicating -465 open in Japan 
  • China A50 Futures: Indicating -469 open in China
  • DAX Futures: Indicating +38 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my index hedges and emerging markets shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my (EEM) short, then added them back
  • Market Exposure: 25% Net Long

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