Monday, November 30, 2015

Stocks Reversing Lower into Final Hour on Global Growth Fears, Emering Markets Currency/Debt Worries, Oil Decline, Retail/Biotech Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Mixed
  • Volume: Slightly Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 16.29 +7.67%
  • Euro/Yen Carry Return Index 135.99 +.04%
  • Emerging Markets Currency Volatility(VXY) 10.81 +1.69%
  • S&P 500 Implied Correlation 57.73 +1.58%
  • ISE Sentiment Index 101.0 -24.63
  • Total Put/Call 1.23 +9.82%
  • NYSE Arms 1.08 -42.62
Credit Investor Angst:
  • North American Investment Grade CDS Index 84.14 -.30%
  • America Energy Sector High-Yield CDS Index 1,309.0 -.38%
  • European Financial Sector CDS Index 68.09 -.69%
  • Western Europe Sovereign Debt CDS Index 17.85 +.65%
  • Asia Pacific Sovereign Debt CDS Index 68.20 -1.23%
  • Emerging Market CDS Index 327.67 +2.62%
  • iBoxx Offshore RMB China Corporate High Yield Index 124.14 -.01%
  • 2-Year Swap Spread 6.25 +1.0 basis point
  • TED Spread 25.25 +3.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -55.25 -2.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 70.15 -.16%
  • 3-Month T-Bill Yield .17% +1.0 basis point
  • Yield Curve 128.0 -2.0 basis points
  • China Import Iron Ore Spot $42.97/Metric Tonne -3.44%
  • Citi US Economic Surprise Index -14.4 +1.1 points
  • Citi Eurozone Economic Surprise Index 23.10 -5.1 points
  • Citi Emerging Markets Economic Surprise Index 9.3 +3.9 points
  • 10-Year TIPS Spread 1.62 -1.0 basis point
  • # of Months to 1st Fed Rate Hike(Morgan Stanley) 1.78 -.07
Overseas Futures:
  • Nikkei 225 Futures: Indicating +13 open in Japan 
  • China A50 Futures: Indicating -141 open in China
  • DAX Futures: Indicating -25 open in Germany
Portfolio: 
  • Lower: On losses in my biotech/medical/retail sector longs 
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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