Friday, October 10, 2014

Stocks Falling into Final Hour on Rising Global Growth Worries, Ebola Fears, Earnings Concerns, Tech/Transport Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Heavy
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 19.31 +2.88%
  • Euro/Yen Carry Return Index 142.0 -.63%
  • Emerging Markets Currency Volatility(VXY) 8.22 +1.86%
  • S&P 500 Implied Correlation 58.75 +3.73%
  • ISE Sentiment Index 82.0 +24.24%
  • Total Put/Call 1.24 +28.87%
  • NYSE Arms 1.07 -20.0% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 69.56 -1.16%
  • European Financial Sector CDS Index 69.04 +2.84%
  • Western Europe Sovereign Debt CDS Index 26.07 +2.52%
  • Asia Pacific Sovereign Debt CDS Index 71.19 +2.63%
  • Emerging Market CDS Index 264.75 +.93%
  • China Blended Corporate Spread Index 328.69 +2.49%
  • 2-Year Swap Spread 26.25 -.5 basis point
  • TED Spread 22.5 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -9.50 -.5 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .01% unch.
  • Yield Curve 186.0 -2.0 basis points
  • China Import Iron Ore Spot $77.50/Metric Tonne n/a
  • Citi US Economic Surprise Index 19.10 unch.
  • Citi Emerging Markets Economic Surprise Index -27.0 -5.1 points
  • 10-Year TIPS Spread 1.97 unch.
Overseas Futures:
  • Nikkei Futures: Indicating -100 open in Japan
  • DAX Futures: Indicating +21 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my medical sector longs, index hedges and emerging markets shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
  • Market Exposure: 25% Net Long

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