Wednesday, August 06, 2014

Stocks Slightly Lower into Final Hour on Escalating Russia-Ukraine Tensions, Surging Eurozone Debt Angst, Yen Strength, Gaming/Transport Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume: Slightly Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 16.40 -2.79%
  • Euro/Yen Carry Return Index 142.54 -.51%
  • Emerging Markets Currency Volatility(VXY) 6.95 +1.46%
  • S&P 500 Implied Correlation 58.92 -2.69%
  • ISE Sentiment Index 97.0 -5.83%
  • Total Put/Call 1.14 -4.20%
  • NYSE Arms 1.36 -13.98% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 66.20 +.96%
  • European Financial Sector CDS Index 73.86 +4.04%
  • Western Europe Sovereign Debt CDS Index 39.16 +6.47%
  • Asia Pacific Sovereign Debt CDS Index 74.50 +1.24%
  • Emerging Market CDS Index 292.98 +.76%
  • China Blended Corporate Spread Index 313.57 +.35%
  • 2-Year Swap Spread 21.75 -.5 basis point
  • TED Spread 21.25 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -12.25 -1.5 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .02% unch.
  • Yield Curve 201.0 -1.0 basis point
  • China Import Iron Ore Spot $95.90/Metric Tonne +.42%
  • Citi US Economic Surprise Index 0.0 +6.2 points
  • Citi Emerging Markets Economic Surprise Index -1.1 -.4 point
  • 10-Year TIPS Spread 2.23 unch.
Overseas Futures:
  • Nikkei Futures: Indicating -65 open in Japan
  • DAX Futures: Indicating -20 open in Germany
Portfolio: 
  • Higher: On gains in my tech/biotech/retal sector longs and emerging markets shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
  • Market Exposure: Moved to 25% Net Long

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