Wednesday, May 18, 2016

Stocks Lower into Final Hour on Fed Rate Hike Fears, Rising European/Emerging Markets/US High-Yield Debt Angst, Oil Decline, Commodity/REIT Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Outperfroming
Equity Investor Angst:
  • Volatility(VIX) 15.92 +2.18%
  • Euro/Yen Carry Return Index 129.07 +.03%
  • Emerging Markets Currency Volatility(VXY) 10.83 +.56%
  • S&P 500 Implied Correlation 56.02 +.99%
  • ISE Sentiment Index 94.0 +67.86%
  • Total Put/Call 1.02 -12.07%
  • NYSE Arms 1.02 +3.69% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 83.40 +1.14%
  • America Energy Sector High-Yield CDS Index 966.0 +3.53%
  • European Financial Sector CDS Index 99.37 +.38%
  • Western Europe Sovereign Debt CDS Index 25.90 +1.27%
  • Asia Pacific Sovereign Debt CDS Index 53.51 +.40%
  • Emerging Market CDS Index 301.45 +2.19%
  • iBoxx Offshore RMB China Corporate High Yield Index 128.03 +.04%
  • 2-Year Swap Spread 12.0 -1.0 basis point
  • TED Spread 33.5 -1.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -26.5 -3.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 70.95 -.96%
  • 3-Month T-Bill Yield .30% +3.0 basis points
  • Yield Curve 98.0 +4.0 basis points
  • China Import Iron Ore Spot $56.78/Metric Tonne +1.79%
  • Citi US Economic Surprise Index -31.70 -1.1 points
  • Citi Eurozone Economic Surprise Index -3.0 +1.2 points
  • Citi Emerging Markets Economic Surprise Index -2.6 +.3 point
  • 10-Year TIPS Spread 1.65% unch.
  • 48.2% chance of Fed rate hike at July 27 meeting, 61.7% chance at September 21 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +86 open in Japan 
  • China A50 Futures: Indicating -62 open in China
  • DAX Futures: Indicating -21 open in Germany
Portfolio: 
  • Higher: On gains in my tech/biotech sector longs and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 25% Net Long

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