Wednesday, October 21, 2015

Stocks Reversing Lower into Final Hour on China Bubble-Bursting Fears, Earnings Outlook Worries, Oil Decline, Financial/Healthcare Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 15.41 -2.10%
  • Euro/Yen Carry Return Index 142.10 +.03%
  • Emerging Markets Currency Volatility(VXY) 11.12 -.71%
  • S&P 500 Implied Correlation 60.52 -3.26%
  • ISE Sentiment Index 115.0 +55.41%
  • Total Put/Call .94 -6.0%
  • NYSE Arms 1.39 +18.33% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 81.53 +.70%
  • America Energy Sector High-Yield CDS Index 1,064.0 +.75%
  • European Financial Sector CDS Index 73.75 -1.02%
  • Western Europe Sovereign Debt CDS Index 20.61 +4.04%
  • Asia Pacific Sovereign Debt CDS Index 78.14 +1.03%
  • Emerging Market CDS Index 334.83 +.11%
  • iBoxx Offshore RMB China Corporates High Yield Index 121.74 +.06%
  • 2-Year Swap Spread 10.75 unch.
  • TED Spread 31.25 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -24.75 -.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.26 -.58%
  • 3-Month T-Bill Yield .00% -1.0 basis point
  • Yield Curve 141.0 -3.0 basis points
  • China Import Iron Ore Spot $52.79/Metric Tonne -.26%
  • Citi US Economic Surprise Index -5.60 +1.6 points
  • Citi Eurozone Economic Surprise Index 9.0 +1.5 point
  • Citi Emerging Markets Economic Surprise Index -15.60 +1.8 points
  • 10-Year TIPS Spread 1.46 -2.0 basis points
  • # of Months to 1st Fed Rate Hike(Morgan Stanley) 6.37 -.38
Overseas Futures:
  • Nikkei 225 Futures: Indicating +49 open in Japan 
  • China A50 Futures: Indicating -162 open in China
  • DAX Futures: Indicating -16 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my medical sector longs, index hedges and emerging markets shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

No comments: