Friday, April 17, 2015

Stocks Substantially Lower into Final Hour on Surging Eurozone Debt Angst, China Bubble Bursting Fears, Earnings Worries, Tech/Biotech Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Every Sector Declining
  • Volume: Slightly Above Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 14.75 +17.1%
  • Euro/Yen Carry Return Index 133.91 +.13%
  • Emerging Markets Currency Volatility(VXY) 9.89 +.41%
  • S&P 500 Implied Correlation 68.47 +2.39%
  • ISE Sentiment Index 75.0 -52.83%
  • Total Put/Call 1.12 +30.23%
  • NYSE Arms 1.13 -3.74% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 63.63 +3.35%
  • America Energy Sector High-Yield CDS Index 1,064.0 -3.35%
  • European Financial Sector CDS Index 75.68 +7.25%
  • Western Europe Sovereign Debt CDS Index 26.35 +6.64%
  • Asia Pacific Sovereign Debt CDS Index 61.0 +3.03%
  • Emerging Market CDS Index 302.55 +1.54%
  • iBoxx Offshore RMB China Corporates High Yield Index 116.52 +.25%
  • 2-Year Swap Spread 26.25 -.25 basis point
  • TED Spread 26.0 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -23.75 -.5 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .02% +1.0 basis point
  • Yield Curve 135.0 -5.0 basis points
  • China Import Iron Ore Spot $50.93/Metric Tonne +2.31%
  • Citi US Economic Surprise Index -54.20 +2.5 points
  • Citi Eurozone Economic Surprise Index 53.40 -1.0 point
  • Citi Emerging Markets Economic Surprise Index -11.5 +2.1 points
  • 10-Year TIPS Spread 1.89 +4.0 basis points
Overseas Futures:
  • Nikkei Futures: Indicating -143 open in Japan
  • DAX Futures: Indicating -3 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my tech/biotech/retail sector longs 
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
  • Market Exposure: Moved to 25% Net Long

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