Friday, November 13, 2015

Stocks Falling into Final Hour on Global Growth Fears, European/Emerging Markets/US High-Yield Debt Angst, Emerging Markets Currency Worries, Tech/Retail Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 19.82 +7.89%
  • Euro/Yen Carry Return Index 137.68 -.61%
  • Emerging Markets Currency Volatility(VXY) 10.70 +1.33%
  • S&P 500 Implied Correlation 59.75 +3.36%
  • ISE Sentiment Index 101.0 -12.93%
  • Total Put/Call 1.06 -13.11%
  • NYSE Arms 1.05 -47.92
Credit Investor Angst:
  • North American Investment Grade CDS Index 84.73 +2.21%
  • America Energy Sector High-Yield CDS Index 1,189.0 +4.64%
  • European Financial Sector CDS Index 75.50 +2.5%
  • Western Europe Sovereign Debt CDS Index 19.96 -1.24%
  • Asia Pacific Sovereign Debt CDS Index 71.33 +.65%
  • Emerging Market CDS Index 334.82 +2.34%
  • iBoxx Offshore RMB China Corporate High Yield Index 123.81 +.11%
  • 2-Year Swap Spread 9.5 -.75 basis point
  • TED Spread 23.25 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -39.25 +.75 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 70.52 -.50%
  • 3-Month T-Bill Yield .11% -2.0 basis points
  • Yield Curve 142.0 -2.0 basis points
  • China Import Iron Ore Spot $48.14/Metric Tonne +.69%
  • Citi US Economic Surprise Index 0.0 -.5 point
  • Citi Eurozone Economic Surprise Index 22.9 -.5 point
  • Citi Emerging Markets Economic Surprise Index -2.40 +.8 point
  • 10-Year TIPS Spread 1.56 -1.0 basis point
  • # of Months to 1st Fed Rate Hike(Morgan Stanley) 2.91 -.07
Overseas Futures:
  • Nikkei 225 Futures: Indicating -86 open in Japan 
  • China A50 Futures: Indicating -284 open in China
  • DAX Futures: Indicating -3 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my biotech/medical sector longs, index hedges and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 25% Net Long

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