Monday, December 08, 2014

Stocks Reversing Lower into Final Hour on Global Growth Fears, Surging Emerging Markets/Eurozone Debt Angst, Yen Strength, Energy/Gaming Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 13.83 +17.01%
  • Euro/Yen Carry Return Index 155.11 -.45%
  • Emerging Markets Currency Volatility(VXY) 8.85 +1.61%
  • S&P 500 Implied Correlation 66.66 +2.39%
  • ISE Sentiment Index 66.0 -30.53%
  • Total Put/Call 1.01 -1.94%
  • NYSE Arms 1.35 +22.43% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 64.56 +3.43%
  • European Financial Sector CDS Index 57.29 +2.35%
  • Western Europe Sovereign Debt CDS Index 25.67 +1.62%
  • Asia Pacific Sovereign Debt CDS Index 62.87 +1.85%
  • Emerging Market CDS Index 322.23 +5.69%
  • China Blended Corporate Spread Index 327.48 unch.
  • 2-Year Swap Spread 22.0 +.75 basis point
  • TED Spread 22.50 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -10.25 +.25 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .01% unch.
  • Yield Curve 163.0 -4.0 basis points
  • China Import Iron Ore Spot $69.80/Metric Tonne -2.74%
  • Citi US Economic Surprise Index 15.90 +1.0 point
  • Citi Eurozone Economic Surprise Index -21.40 +3.9 points
  • Citi Emerging Markets Economic Surprise Index -6.8 -2.2 points
  • 10-Year TIPS Spread 1.72 -3.0 basis points
Overseas Futures:
  • Nikkei Futures: Indicating -80 open in Japan
  • DAX Futures: Indicating -40 open in Germany
Portfolio: 
  • Higher: On gains in my biotech/medical sector longs, index hedges and emerging markets shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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