Tuesday, February 02, 2016

Stocks Falling into Final Hour on Surging European/Emerging Markets/US High-Yield Debt Angst, Emerging Market Currency Fears, Oil Decline, Financial/Energy Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Every Sector Declining
  • Volume: Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 22.09 +10.56%
  • Euro/Yen Carry Return Index 136.82 -.64%
  • Emerging Markets Currency Volatility(VXY) 12.39 +2.82%
  • S&P 500 Implied Correlation 61.86 +1.29%
  • ISE Sentiment Index 72.0 -24.21%
  • Total Put/Call 1.15 +13.86%
  • NYSE Arms 2.4 +99.48% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 108.76 +5.35%
  • America Energy Sector High-Yield CDS Index 1,973.0 +2.0%
  • European Financial Sector CDS Index 98.33 +5.2%
  • Western Europe Sovereign Debt CDS Index 22.79 +2.98%
  • Asia Pacific Sovereign Debt CDS Index 80.50 +2.57%
  • Emerging Market CDS Index 388.76 +4.90%
  • iBoxx Offshore RMB China Corporate High Yield Index 122.45 +.07%
  • 2-Year Swap Spread 6.5 unch.
  • TED Spread 26.5 -3.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -21.25 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 67.58 -.86%
  • 3-Month T-Bill Yield .33% +3.0 basis points
  • Yield Curve 112.0 -3.0 basis points
  • China Import Iron Ore Spot $43.84/Metric Tonne +1.91%
  • Citi US Economic Surprise Index -50.5 unch.
  • Citi Eurozone Economic Surprise Index -19.40 +2.8 points
  • Citi Emerging Markets Economic Surprise Index -8.80 -1.5 points
  • 10-Year TIPS Spread 1.36% -5.0 basis points
  • 15.4% chance of Fed rate hike at April 27 meeting, 25.6% chance at June 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -335 open in Japan 
  • China A50 Futures: Indicating -139 open in China
  • DAX Futures: Indicating -86 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my retail/tech/biotech 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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