Thursday, December 17, 2015

Stocks Falling into Final Hour on Rising Emerging Markets/US High Yield Debt Angst, Emerging Markets Currency Fears, Oil Decline, Commodity/Homebuilder Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Slightly Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 17.73 -.73%
  • Euro/Yen Carry Return Index 138.69 -.47%
  • Emerging Markets Currency Volatility(VXY) 11.28 +.71%
  • S&P 500 Implied Correlation 57.53 +1.25%
  • ISE Sentiment Index 76.0 -30.28%
  • Total Put/Call .93 +20.78%
  • NYSE Arms 2.67 +192.15% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 92.87 +3.93%
  • America Energy Sector High-Yield CDS Index 1,735.0 +3.63%
  • European Financial Sector CDS Index 74.86 -.84%
  • Western Europe Sovereign Debt CDS Index 17.36 +.96%
  • Asia Pacific Sovereign Debt CDS Index 72.22 -.69%
  • Emerging Market CDS Index 350.28 +2.25%
  • iBoxx Offshore RMB China Corporate High Yield Index 123.48 +.08%
  • 2-Year Swap Spread 10.0 +3.5 basis points
  • TED Spread 27.75 +1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -31.5 +7.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.12 -.42%
  • 3-Month T-Bill Yield .22% -3.0 basis points
  • Yield Curve 124.0 -4.0 basis points
  • China Import Iron Ore Spot $39.43/Metric Tonne +.64%
  • Citi US Economic Surprise Index -23.9 -.9 point
  • Citi Eurozone Economic Surprise Index 19.0 -1.4 points
  • Citi Emerging Markets Economic Surprise Index 17.80 -1.0 basis point
  • 10-Year TIPS Spread 1.50 unch.
  • 67.6% chance of next Fed rate hike at June 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +51 open in Japan 
  • China A50 Futures: Indicating -141 open in China
  • DAX Futures: Indicating -3 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my index hedges and emerging markets shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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