Wednesday, February 03, 2016

Stocks Reversing Losses into Final Hour on Central Bank Hopes, Emerging Market Currency Gains, Oil Bounce, Commodity/Telecom Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Mixed
  • Volume: Above Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 21.61 -1.68%
  • Euro/Yen Carry Return Index 136.39 -.33%
  • Emerging Markets Currency Volatility(VXY) 12.57 +1.52%
  • S&P 500 Implied Correlation 60.16 -2.58%
  • ISE Sentiment Index 123.0 +101.64%
  • Total Put/Call .86 -13.13%
  • NYSE Arms .88 -60.74% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 108.42 -.18%
  • America Energy Sector High-Yield CDS Index 2,030.0 +2.73%
  • European Financial Sector CDS Index 103.66 +5.42%
  • Western Europe Sovereign Debt CDS Index 25.06 +9.96%
  • Asia Pacific Sovereign Debt CDS Index 81.81 +.06%
  • Emerging Market CDS Index 378.76 -2.38%
  • iBoxx Offshore RMB China Corporate High Yield Index 122.36 -.07%
  • 2-Year Swap Spread 6.25 -.25 basis point
  • TED Spread 28.25 +1.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -20.25 +1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 68.32 +1.1%
  • 3-Month T-Bill Yield .33% unch.
  • Yield Curve 116.0 +4.0 basis points
  • China Import Iron Ore Spot $44.63/Metric Tonne +1.80%
  • Citi US Economic Surprise Index -54.2 -3.7 points
  • Citi Eurozone Economic Surprise Index -18.60 +.8 point
  • Citi Emerging Markets Economic Surprise Index -8.40 +.4 point
  • 10-Year TIPS Spread 1.38% +2.0 basis points
  • 15.5% chance of Fed rate hike at April 27 meeting, 25.7% chance at June 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -241 open in Japan 
  • China A50 Futures: Indicating -81 open in China
  • DAX Futures: Indicating +85 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my index hedges and emerging markets shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my (EEM) short
  • Market Exposure: Moved to 50% Net Long

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