Monday, September 28, 2015

Stocks Falling Substantially into Final Hour on China Bubble-Bursting Fears, Surging European/Emerging Markets/US High-Yield Debt Angst, Fed Rate-Hike Worries, Biotech/Commodity Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Every Sector Declining
  • Volume: Above Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 27.67 +17.15%
  • Euro/Yen Carry Return Index 140.50 -.33%
  • Emerging Markets Currency Volatility(VXY) 12.90 +.08%
  • S&P 500 Implied Correlation 66.85 +3.64%
  • ISE Sentiment Index 39.0 -11.0%
  • Total Put/Call 1.41 +9.30%
  • NYSE Arms 2.49 +143.87% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 92.63 +5.42%
  • America Energy Sector High-Yield CDS Index 1,101 +6.44%
  • European Financial Sector CDS Index 96.63 +7.35%
  • Western Europe Sovereign Debt CDS Index 21.39 -.63%
  • Asia Pacific Sovereign Debt CDS Index 90.47 +4.79%
  • Emerging Market CDS Index 400.06 +4.86%
  • iBoxx Offshore RMB China Corporates High Yield Index 119.81 +.11%
  • 2-Year Swap Spread 9.75 -.25 basis point
  • TED Spread 33.75 -1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -21.0 +1.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 70.19 -.53%
  • 3-Month T-Bill Yield -.01% +1.0 basis point
  • Yield Curve 143.0 -4.0 basis points
  • China Import Iron Ore Spot $56.86/Metric Tonne -.21%
  • Citi US Economic Surprise Index -23.80 +1.2 points
  • Citi Eurozone Economic Surprise Index 21.20 +5.3 points
  • Citi Emerging Markets Economic Surprise Index -25.3 -.6 point
  • 10-Year TIPS Spread 1.39 -8.0 basis points
  • # of Months to 1st Fed Rate Hike(Morgan Stanley) 5.42 -.28
Overseas Futures:
  • Nikkei 225 Futures: Indicating -220 open in Japan 
  • China A50 Futures: Indicating -232 open in China
  • DAX Futures: Indicating -42 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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