Friday, August 21, 2015

Stocks Falling Substantially into Afternoon on China Bubble-Bursting Fears, Global Growth Worries, Emerging Markets Currency Concerns, Energy/Transport Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Heavy
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 23.64 +23.56%
  • Euro/Yen Carry Return Index 144.96 +.06%
  • Emerging Markets Currency Volatility(VXY) 11.38 +1.97%
  • S&P 500 Implied Correlation 56.51 -1.96%
  • ISE Sentiment Index 63.0 -10.0%
  • Total Put/Call 1.73 +33.08%
  • NYSE Arms 1.77 +30.50% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 81.87 +1.53%
  • America Energy Sector High-Yield CDS Index 1,868.0 +.77%
  • European Financial Sector CDS Index 83.56 +4.44%
  • Western Europe Sovereign Debt CDS Index 23.66 +4.74%
  • Asia Pacific Sovereign Debt CDS Index 80.51 +4.29%
  • Emerging Market CDS Index 363.98 +4.96%
  • iBoxx Offshore RMB China Corporates High Yield Index 118.51 -.37%
  • 2-Year Swap Spread 22.75 unch.
  • TED Spread 31.25 +2.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -18.0 +.25 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .02% unch.
  • Yield Curve 143.0 +2.0 basis points
  • China Import Iron Ore Spot $56.10/Metric Tonne +.47%
  • Citi US Economic Surprise Index -18.2 -1.1 points
  • Citi Eurozone Economic Surprise Index 16.9 +6.8 points
  • Citi Emerging Markets Economic Surprise Index -8.6 -2.2 points
  • 10-Year TIPS Spread 1.5 -4.0 basis points
  • # of Months to 1st Fed Rate Hike(Morgan Stanley) 4.02 -.03
Overseas Futures:
  • Nikkei 225 Futures: Indicating -346 open in Japan 
  • China A50 Futures: Indicating -114 open in China
  • DAX Futures: Indicating -54 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my index hedges and emerging markets shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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