Wednesday, December 10, 2014

Stocks Falling into Final Hour on Surging Emerging Markets/European Debt Angst, Global Growth Fears, Yen Strength, Homebuilding/Commodity Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 18.43 +23.77%
  • Euro/Yen Carry Return Index 153.47 -.78%
  • Emerging Markets Currency Volatility(VXY) 9.05 +.56%
  • S&P 500 Implied Correlation 68.95 +3.34%
  • ISE Sentiment Index 86.0 +26.47%
  • Total Put/Call .99 -5.71%
  • NYSE Arms 2.76 +146.11% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 68.39 +5.70% 
  • America Energy Sector High-Yield CDS Index 603.0 +4.03%
  • European Financial Sector CDS Index 61.50 +3.19%
  • Western Europe Sovereign Debt CDS Index 29.84 +10.2%
  • Asia Pacific Sovereign Debt CDS Index 65.87 +.59%
  • Emerging Market CDS Index 352.44 +7.13%
  • China Blended Corporate Spread Index 330.79 +.73%
  • 2-Year Swap Spread 23.0 +.75 basis point
  • TED Spread 21.25 -1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap 7.0 +2.75 basis points
Economic Gauges:
  • 3-Month T-Bill Yield .03% +2.0 basis points
  • Yield Curve 159.0 -1.0 basis point
  • China Import Iron Ore Spot $69.14/Metric Tonne +.12%
  • Citi US Economic Surprise Index 18.10 +.2 point
  • Citi Eurozone Economic Surprise Index -19.40 -2.3 points
  • Citi Emerging Markets Economic Surprise Index -7.1 -.6 point
  • 10-Year TIPS Spread 1.71 -3.0 basis points
Overseas Futures:
  • Nikkei Futures: Indicating -172 open in Japan
  • DAX Futures: Indicating -52 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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