Wednesday, January 13, 2016

Stocks Reversing Substantially Lower into Final Hour on Global Growth Fears, Rising Eurozone/Emerging Markets/US High-Yield Debt Angst, Oil Decline, Road & Rail/Biotech Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Every Sector Declining
  • Volume: Above Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 25.50 +12.91%
  • Euro/Yen Carry Return Index 133.93 +.33%
  • Emerging Markets Currency Volatility(VXY) 11.51 -4.08%
  • S&P 500 Implied Correlation 64.03 +4.56%
  • ISE Sentiment Index 73.0 -18.89%
  • Total Put/Call 1.09 +6.86%
  • NYSE Arms 1.13 +19.31% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 102.53 +4.21%
  • America Energy Sector High-Yield CDS Index 1,717.0 -.26%
  • European Financial Sector CDS Index 80.86 -.29%
  • Western Europe Sovereign Debt CDS Index 17.54 -2.01%
  • Asia Pacific Sovereign Debt CDS Index 75.80 -.80%
  • Emerging Market CDS Index 384.93 +1.81%
  • iBoxx Offshore RMB China Corporate High Yield Index 122.82 -.41%
  • 2-Year Swap Spread 7.5 +.25 basis point
  • TED Spread 41.75 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -22.25 -.75 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 67.70 +.36%
  • 3-Month T-Bill Yield .22% +2.0 basis points
  • Yield Curve 116.0 -2.0 basis points
  • China Import Iron Ore Spot $39.51/Metric Tonne -4.08%
  • Citi US Economic Surprise Index -24.7 -.6 point
  • Citi Eurozone Economic Surprise Index 22.70 -.7 point
  • Citi Emerging Markets Economic Surprise Index -4.50 +5.9 points
  • 10-Year TIPS Spread 1.45% -1.0 basis point
  • 36.8% chance of Fed rate hike at March 16 meeting, 42.6% chance at April 27 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -456 open in Japan 
  • China A50 Futures: Indicating -285 open in China
  • DAX Futures: Indicating -182 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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