Thursday, November 12, 2015

Stocks Sharply Lower into Final Hour on Surging Eurozone/US High-Yield Debt Angst, Emerging Markets Currency Worries, Earnings Outlook Concerns, Homebuilding/Financial Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Every Sector Declining
  • Volume: Slightly Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 17.29 +7.78%
  • Euro/Yen Carry Return Index 138.17 +.21%
  • Emerging Markets Currency Volatility(VXY) 10.61 -.47%
  • S&P 500 Implied Correlation 57.21 +1.71%
  • ISE Sentiment Index 114.0 +86.89%
  • Total Put/Call 1.13 +31.40%
  • NYSE Arms 1.40 -1.36
Credit Investor Angst:
  • North American Investment Grade CDS Index 82.89 +2.7%
  • America Energy Sector High-Yield CDS Index 1,146.0 +1.91%
  • European Financial Sector CDS Index 73.66 +5.01%
  • Western Europe Sovereign Debt CDS Index 20.21 +4.82%
  • Asia Pacific Sovereign Debt CDS Index 69.64 +1.18%
  • Emerging Market CDS Index 326.11 +.06%
  • iBoxx Offshore RMB China Corporate High Yield Index 123.68 unch.
  • 2-Year Swap Spread 10.25 +.5 basis point
  • TED Spread 23.0 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -40.0 -.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 70.88 -.38%
  • 3-Month T-Bill Yield .13% unch.
  • Yield Curve 144.0 -2.0 basis points
  • China Import Iron Ore Spot $47.81/Metric Tonne -1.59%
  • Citi US Economic Surprise Index .5 -.5 point
  • Citi Eurozone Economic Surprise Index 23.4 -.4 point
  • Citi Emerging Markets Economic Surprise Index -3.20 -.2 point
  • 10-Year TIPS Spread 1.57 -1.0 basis point
  • # of Months to 1st Fed Rate Hike(Morgan Stanley) 2.98 n/a
Overseas Futures:
  • Nikkei 225 Futures: Indicating -173 open in Japan 
  • China A50 Futures: Indicating -150 open in China
  • DAX Futures: Indicating -25 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my index hedges and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 25% Net Long

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