Wednesday, February 04, 2015

Stocks Slightly Lower into Final Hour on Global Growth Fears, Emerging Markets/US High-Yield Debt Angst, Earnings Concerns, Energy/Biotech Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 17.47 +.81%
  • Euro/Yen Carry Return Index 139.97 -.71%
  • Emerging Markets Currency Volatility(VXY) 10.67 +.57%
  • S&P 500 Implied Correlation 65.30 +1.89%
  • ISE Sentiment Index 129.0 +31.63%
  • Total Put/Call .93 -1.06%
  • NYSE Arms 1.04 +97.87% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 66.68 +1.09%
  • America Energy Sector High-Yield CDS Index 750.0 -3.37%
  • European Financial Sector CDS Index 62.40 -.55%
  • Western Europe Sovereign Debt CDS Index 24.71 -2.77%
  • Asia Pacific Sovereign Debt CDS Index 68.41 +.93%
  • Emerging Market CDS Index 390.45 +1.78%
  • iBoxx Offshore RMB China Corporates High Yield Index 113.60 +.09%
  • 2-Year Swap Spread 24.75 -.25 basis point
  • TED Spread 24.25 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -16.5 -1.25 basis points
Economic Gauges:
  • 3-Month T-Bill Yield .01% -1.0 basis point
  • Yield Curve 128.0 +1.0 basis point
  • China Import Iron Ore Spot $62.58/Metric Tonne -.95%
  • Citi US Economic Surprise Index -13.0 unch.
  • Citi Eurozone Economic Surprise Index 20.80 +8.2 points
  • Citi Emerging Markets Economic Surprise Index -5.90 unch.
  • 10-Year TIPS Spread 1.71 +1.0 basis point
Overseas Futures:
  • Nikkei Futures: Indicating -5 open in Japan
  • DAX Futures: Indicating -25 open in Germany
Portfolio: 
  • Higher: On gains in my retail/tech/medical sector longs 
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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