Monday, December 15, 2014

Stocks Reversing Lower into Final Hour on Surging Emerging Markets/Eurozone/US High-Yield Debt Angst, Global Growth Fears, Yen Strength, Biotech/Commodity Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 20.78 -1.42%
  • Euro/Yen Carry Return Index 152.86 -1.12%
  • Emerging Markets Currency Volatility(VXY) 10.82 +10.97%
  • S&P 500 Implied Correlation 69.97 -1.58%
  • ISE Sentiment Index 60.0 -10.45%
  • Total Put/Call 1.05 -3.67%
  • NYSE Arms 1.22 -16.39% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 74.23 +2.25% 
  • America Energy Sector High-Yield CDS Index 660.0 +1.10%
  • European Financial Sector CDS Index 70.91 +9.59%
  • Western Europe Sovereign Debt CDS Index 31.67 +1.10%
  • Asia Pacific Sovereign Debt CDS Index 74.50 -.33%
  • Emerging Market CDS Index 416.86 +7.61%
  • China Blended Corporate Spread Index 345.18 +3.51%
  • 2-Year Swap Spread 23.75 -.25 basis point
  • TED Spread 22.75 +.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -9.0 -1.0 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .01% -1.0 basis point
  • Yield Curve 153.0 -2.0 basis points
  • China Import Iron Ore Spot $69.06/Metric Tonne +.10%
  • Citi US Economic Surprise Index 34.40 +4.8 points
  • Citi Eurozone Economic Surprise Index -19.60 +.7 point
  • Citi Emerging Markets Economic Surprise Index -15.20 +.3 point
  • 10-Year TIPS Spread 1.62 -1.0 basis point
Overseas Futures:
  • Nikkei Futures: Indicating -314 open in Japan
  • DAX Futures: Indicating +21 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my retail 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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