Friday, September 25, 2015

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

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 22.06 -6.01%
  • Euro/Yen Carry Return Index 141.02 +.14%
  • Emerging Markets Currency Volatility(VXY) 12.95 -.84%
  • S&P 500 Implied Correlation 62.81 -3.74%
  • ISE Sentiment Index 51.0 -26.09%
  • Total Put/Call 1.21 +18.63%
  • NYSE Arms 1.17 +23.07% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 87.78 +2.06%
  • America Energy Sector High-Yield CDS Index 1,033.0 +2.44%
  • European Financial Sector CDS Index 90.01 -1.85%
  • Western Europe Sovereign Debt CDS Index 21.53 +1.51%
  • Asia Pacific Sovereign Debt CDS Index 86.23 +.57%
  • Emerging Market CDS Index 380.87 +3.0%
  • iBoxx Offshore RMB China Corporates High Yield Index 119.68 unch.
  • 2-Year Swap Spread 10.0 -.5 basis point
  • TED Spread 32.5 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -22.5 +1.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 70.53 +.02%
  • 3-Month T-Bill Yield -.02% -2.0 basis points
  • Yield Curve 147.0 +3.0 basis points
  • China Import Iron Ore Spot $56.98/Metric Tonne +3.04%
  • Citi US Economic Surprise Index -25.0 +2.5 points
  • Citi Eurozone Economic Surprise Index 15.9 -1.0 point
  • Citi Emerging Markets Economic Surprise Index -24.7 -.2 point
  • 10-Year TIPS Spread 1.47 -2.0 basis points
  • # of Months to 1st Fed Rate Hike(Morgan Stanley) 5.70 +.08
Overseas Futures:
  • Nikkei 225 Futures: Indicating +71 open in Japan 
  • China A50 Futures: Indicating -15 open in China
  • DAX Futures: Indicating -24 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my biotech/medical sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
  • Market Exposure: Moved to 25% Net Long

No comments: