Friday, August 28, 2015

Stocks Modestly Lower into Afternoon on China Bubble-Bursting Fears, Fed Uncertainty, Earnings Worries, Utility/Pharma Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 27.21 +4.25%
  • Euro/Yen Carry Return Index 141.90 -.15%
  • Emerging Markets Currency Volatility(VXY) 11.56 -.94%
  • S&P 500 Implied Correlation 62.06 +9.41%
  • ISE Sentiment Index 86.0 unch.
  • Total Put/Call 1.23 +3.36%
  • NYSE Arms .92 +165.13% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 79.71 +.97%
  • America Energy Sector High-Yield CDS Index 1,872.0 -2.51%
  • European Financial Sector CDS Index 81.26 +2.38%
  • Western Europe Sovereign Debt CDS Index 22.34 -2.66%
  • Asia Pacific Sovereign Debt CDS Index 79.70 +1.55%
  • Emerging Market CDS Index 344.58 +.55%
  • iBoxx Offshore RMB China Corporates High Yield Index 116.79 -.36%
  • 2-Year Swap Spread 15.25 +.75 basis point
  • TED Spread 27.25 -.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -21.25 -.75 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .06% +1.0 basis point
  • Yield Curve 146.0 -3.0 basis points
  • China Import Iron Ore Spot $56.04/Metric Tonne +3.91%
  • Citi US Economic Surprise Index -7.5 -4.8 points
  • Citi Eurozone Economic Surprise Index 14.6 -3.5 points
  • Citi Emerging Markets Economic Surprise Index -9.6 -1.7 points
  • 10-Year TIPS Spread 1.61 +2.0 basis points
  • # of Months to 1st Fed Rate Hike(Morgan Stanley) 5.61 -.31
Overseas Futures:
  • Nikkei 225 Futures: Indicating -1 open in Japan 
  • China A50 Futures: Indicating -302 open in China
  • DAX Futures: Indicating -8 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my retail sector longs and emerging markets shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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