Monday, September 14, 2015

Stocks Reversing Lower into Final Hour on China Bubble-Bursting Fears, Commodity Declines, US High-Yield Debt Angst, Homebuilding/Energy Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Light
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 24.36 +4.91%
  • Euro/Yen Carry Return Index 141.87 -.64%
  • Emerging Markets Currency Volatility(VXY) 12.66 -.16%
  • S&P 500 Implied Correlation 65.31 +3.01%
  • ISE Sentiment Index 81.0 -2.0%
  • Total Put/Call .99 -17.5%
  • NYSE Arms .99 +13.7% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 79.94 +.23%
  • America Energy Sector High-Yield CDS Index 1,925.0 +1.07%
  • European Financial Sector CDS Index 82.50 +.35%
  • Western Europe Sovereign Debt CDS Index 21.97 +2.33%
  • Asia Pacific Sovereign Debt CDS Index 86.43 +.34%
  • Emerging Market CDS Index 354.51 +.04%
  • iBoxx Offshore RMB China Corporates High Yield Index 118.21 +.30%
  • 2-Year Swap Spread 13.5 -1.0 basis point
  • TED Spread 31.25 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -25.25 -1.25 basis points
Economic Gauges:
  • 3-Month T-Bill Yield .03% unch.
  • Yield Curve 145.0 -3.0 basis points
  • China Import Iron Ore Spot $58.1/Metric Tonne -1.54%
  • Citi US Economic Surprise Index -20.3 +1.9 points
  • Citi Eurozone Economic Surprise Index 24.5 -.1 point
  • Citi Emerging Markets Economic Surprise Index -24.3 -1.5 points
  • 10-Year TIPS Spread 1.56 -3.0 basis points
  • # of Months to 1st Fed Rate Hike(Morgan Stanley) 3.94 -.01
Overseas Futures:
  • Nikkei 225 Futures: Indicating -11 open in Japan 
  • China A50 Futures: Indicating -496 open in China
  • DAX Futures: Indicating +15 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my biotech/retail/medical sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges 
  • Market Exposure: Moved to 25% Net Long

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