Tuesday, November 17, 2015

Stocks Reversing Slightly Lower into Final Hour on Terrorism Fears, Oil Decline, Earnings Outlook Worries, Commodity/Gaming Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 19.09 +5.12%
  • Euro/Yen Carry Return Index 137.27 -.18%
  • Emerging Markets Currency Volatility(VXY) 10.54 -1.13%
  • S&P 500 Implied Correlation 57.52 -.66%
  • ISE Sentiment Index 88.0 +10.0%
  • Total Put/Call .78 -9.30%
  • NYSE Arms 1.20 +136.30
Credit Investor Angst:
  • North American Investment Grade CDS Index 83.74 +2.0%
  • America Energy Sector High-Yield CDS Index 1,236.0 -.3%
  • European Financial Sector CDS Index 70.25 -6.5%
  • Western Europe Sovereign Debt CDS Index 20.12 -3.85%
  • Asia Pacific Sovereign Debt CDS Index 69.14 -2.03%
  • Emerging Market CDS Index 322.79 -.99%
  • iBoxx Offshore RMB China Corporate High Yield Index 123.83 +.11%
  • 2-Year Swap Spread 9.25 +.5 basis point
  • TED Spread 24.75 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -42.5 -2.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 70.53 +.06%
  • 3-Month T-Bill Yield .12% +2.0 basis points
  • Yield Curve 1420.0 -2.0 basis points
  • China Import Iron Ore Spot $45.58/Metric Tonne -4.52%
  • Citi US Economic Surprise Index -2.8 -4.3 points
  • Citi Eurozone Economic Surprise Index 26.5 +1.6 points
  • Citi Emerging Markets Economic Surprise Index 1.0 +1.1 points
  • 10-Year TIPS Spread 1.56 +2.0 basis points
  • # of Months to 1st Fed Rate Hike(Morgan Stanley) 2.79 -.10
Overseas Futures:
  • Nikkei 225 Futures: Indicating +185 open in Japan 
  • China A50 Futures: Indicating -101 open in China
  • DAX Futures: Indicating -95 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my medical/biotech sector longs and index hedges
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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