Monday, April 07, 2014

Stocks Falling into Final Hour on Rising Emerging Markets Debt Angst, Russia/Ukraine Tensions, Margin Selling, Financial/Energy Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Above Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 15.38 +10.17%
  • Euro/Yen Carry Return Index 147.89 +.14%
  • Emerging Markets Currency Volatility(VXY) 8.21 -.61%
  • S&P 500 Implied Correlation 55.63 +3.95%
  • ISE Sentiment Index 71.0 -11.25%
  • Total Put/Call 1.0 +5.26% 
  • NYSE Arms 1.15 -5.60% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 67.97 +1.20%
  • European Financial Sector CDS Index 83.96 +.89%
  • Western Europe Sovereign Debt CDS Index 42.25 -2.56%
  • Asia Pacific Sovereign Debt CDS Index 90.70 +2.16%
  • Emerging Market CDS Index 279.41 +.48%
  • China Blended Corporate Spread Index 354.14 +.83%
  • 2-Year Swap Spread 13.0 +.25 basis point
  • TED Spread 21.0 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -1.25 -.75 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .02% unch.
  • Yield Curve 230.0 -1.0 basis point
  • China Import Iron Ore Spot $117.20/Metric Tonne +1.30%
  • Citi US Economic Surprise Index -45.90 -2.1 points
  • Citi Emerging Markets Economic Surprise Index -4.90 +1.0 point
  • 10-Year TIPS Spread 2.13 -2.o basis points
Overseas Futures:
  • Nikkei Futures: Indicating -23 open in Japan
  • DAX Futures: Indicating -8 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my biotech sector longs and index hedges
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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