Stocks Falling into Final Hour on Soaring European/Emerging Markets Debt Angst, Global Growth Fears, Yen Strength, Energy/Transport Sector Weakness
Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 20.98 +17.99%
- Euro/Yen Carry Return Index 149.06 -1.32%
- Emerging Markets Currency Volatility(VXY) 10.85 +.84%
- S&P 500 Implied Correlation 68.38 +3.81%
- ISE Sentiment Index 84.0 +18.31%
- Total Put/Call 1.14 -5.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 69.87 +4.25%
- America Energy Sector High-Yield CDS Index 664.0 +2.43%
- European Financial Sector CDS Index 68.96 +9.34%
- Western Europe Sovereign Debt CDS Index 27.09 +8.51%
- Asia Pacific Sovereign Debt CDS Index 69.90 +2.21%
- Emerging Market CDS Index 380.71 +10.3%
- China Blended Corporate Spread Index 345.65 +.93%
- 2-Year Swap Spread 22.75 unch.
- TED Spread 23.50 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -15.75 -1.0 basis point
Economic Gauges:
- 3-Month T-Bill Yield .01% -1.0 basis point
- Yield Curve 137.0 -9.0 basis points
- China Import Iron Ore Spot $70.87/Metric Tonne -.55%
- Citi US Economic Surprise Index 27.60 -.7 point
- Citi Eurozone Economic Surprise Index 12.40 +3.4 points
- Citi Emerging Markets Economic Surprise Index -14.30 -2.4 points
- 10-Year TIPS Spread 1.65 -6.0 basis points
Overseas Futures:
- Nikkei Futures: Indicating -294 open in Japan
- DAX Futures: Indicating -13 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging markets shorts
- Market Exposure: 25% Net Long
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