Thursday, August 20, 2015

Stocks Falling Substantially into Final Hour on China Bubble-Bursting Fears, Emerging Markets Currency Worries, Global Growth Concerns, Tech/Biotech Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 18.13 +18.89%
  • Euro/Yen Carry Return Index 144.36 +.36%
  • Emerging Markets Currency Volatility(VXY) 11.31 +4.63%
  • S&P 500 Implied Correlation 56.46 -1.91%
  • ISE Sentiment Index 71.0 -2.74%
  • Total Put/Call 1.25 +15.74%
  • NYSE Arms 1.12 -25.74% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 80.05 +1.08%
  • America Energy Sector High-Yield CDS Index 1,853.0 -3.56%
  • European Financial Sector CDS Index 80.14 +2.05%
  • Western Europe Sovereign Debt CDS Index 22.59 +2.29%
  • Asia Pacific Sovereign Debt CDS Index 77.30 +3.49%
  • Emerging Market CDS Index 356.40 +2.12%
  • iBoxx Offshore RMB China Corporates High Yield Index 118.94 -.08%
  • 2-Year Swap Spread 22.75 -.75 basis point
  • TED Spread 29.25 +2.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -18.25 unch.
Economic Gauges:
  • 3-Month T-Bill Yield .02% -2.0 basis points
  • Yield Curve 141.0 -6.0 basis points
  • China Import Iron Ore Spot $55.84/Metric Tonne -1.01%
  • Citi US Economic Surprise Index -17.1 -1.3 points
  • Citi Eurozone Economic Surprise Index 10.1 -.3 point
  • Citi Emerging Markets Economic Surprise Index -5.4 +.1 point
  • 10-Year TIPS Spread 1.57 -1.0 basis point
  • # of Months to 1st Fed Rate Hike(Morgan Stanley) 4.55 +.55
Overseas Futures:
  • Nikkei 225 Futures: Indicating -353 open in Japan 
  • China A50 Futures: Indicating -163 open in China
  • DAX Futures: Indicating -86 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my index hedges and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 25% Net Long

No comments: