Friday, December 21, 2012

Stocks Falling into Afternoon on Rising Fiscal Cliff Fears, Global Growth Worries, Eurozone Debt Angst, Homebuilding/Tech/Commodity Sector Weakness

Today's Market Take:

Broad Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Above Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • VIX 18.45 +4.41%
  • ISE Sentiment Index 95.0 -25.2%
  • Total Put/Call 1.03 +19.77%
  • NYSE Arms 2.91 +339.91%
Credit Investor Angst:
  • North American Investment Grade CDS Index 92.92 +4.8%
  • European Financial Sector CDS Index 138.83 +3.1%
  • Western Europe Sovereign Debt CDS Index 110.14 +1.1%
  • Emerging Market CDS Index 211.27 +1.3%
  • 2-Year Swap Spread 13.25 +.5 bp
  • TED Spread 26.0 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -25.5 unch.
Economic Gauges:
  • 3-Month T-Bill Yield .05% unch.
  • Yield Curve 148.0 -4 bps
  • China Import Iron Ore Spot $135.40/Metric Tonne -.07%
  • Citi US Economic Surprise Index 54.80 -1.2 points
  • 10-Year TIPS Spread 2.48 -1 bp
Overseas Futures:
  • Nikkei Futures: Indicating +111 open in Japan
  • DAX Futures: Indicating +11 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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