Friday, April 29, 2016

Stocks Falling into Final Hour on Global Growth Fears, Earnings Outlook Worries, Yen Strength, Tech/Biotech Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Slightly Above Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 16.83 +10.38%
  • Euro/Yen Carry Return Index 127.67 -.42%
  • Emerging Markets Currency Volatility(VXY) 10.37 +.19%
  • S&P 500 Implied Correlation 58.67 +6.73%
  • ISE Sentiment Index 58.0 -45.79%
  • Total Put/Call 1.17 +18.18%
  • NYSE Arms 1.08 -1.27% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 78.04 +2.14%
  • America Energy Sector High-Yield CDS Index 1,050.0 -2.75%
  • European Financial Sector CDS Index 89.76 +4.84%
  • Western Europe Sovereign Debt CDS Index 24.97 -4.62%
  • Asia Pacific Sovereign Debt CDS Index 54.31 -4.42%
  • Emerging Market CDS Index 284.0 +2.43%
  • iBoxx Offshore RMB China Corporate High Yield Index 126.96 -.27%
  • 2-Year Swap Spread 14.0 +.75 basis point
  • TED Spread 42.50 +3.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -22.25 +.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 73.59 +.36%
  • 3-Month T-Bill Yield .20% -2.0 basis points
  • Yield Curve 105.0 unch.
  • China Import Iron Ore Spot $66.24/Metric Tonne +5.31%
  • Citi US Economic Surprise Index -31.40 -2.4 points
  • Citi Eurozone Economic Surprise Index -13.0 -2.7 points
  • Citi Emerging Markets Economic Surprise Index 16.70 -.1 point
  • 10-Year TIPS Spread 1.72% -1.0 basis point
  • 24.3% chance of Fed rate hike at July 27 meeting, 41.0% chance at September 21 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -741 open in Japan 
  • China A50 Futures: Indicating -42 open in China
  • DAX Futures: Indicating +29 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my index hedges and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 25% Net Long

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