Friday, June 10, 2016

Stocks Falling into Afternoon on Escalating Brexit Risk, Rising European/Emerging Markets/US High-Yield Debt Angst, Oil Decline, Commodity/Biotech Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Every Sector Declining
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 16.47 +12.5%
  • Euro/Yen Carry Return Index 125.54 -.89%
  • Emerging Markets Currency Volatility(VXY) 10.53 +4.46%
  • S&P 500 Implied Correlation 57.02 +5.07%
  • ISE Sentiment Index 81.0 -12.96%
  • Total Put/Call 1.08 +13.68%
  • NYSE Arms 1.59 +29.66
Credit Investor Angst:
  • North American Investment Grade CDS Index 78.53 +3.6%
  • America Energy Sector High-Yield CDS Index 732.0 -.32%
  • European Financial Sector CDS Index 101.17 +4.2%
  • Western Europe Sovereign Debt CDS Index 27.33 +4.02%
  • Asia Pacific Sovereign Debt CDS Index 52.67 +1.05%
  • Emerging Market CDS Index 288.98 +2.22%
  • iBoxx Offshore RMB China Corporate High Yield Index 129.37 +.13%
  • 2-Year Swap Spread 14.0 unch.
  • TED Spread 40.5 -1.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -30.25 -1.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 71.76 -.99%
  • 3-Month T-Bill Yield .25% unch.
  • Yield Curve 90.0 unch.
  • China Import Iron Ore Spot $52.5/Metric Tonne unch.
  • Citi US Economic Surprise Index -23.0 +.2 point
  • Citi Eurozone Economic Surprise Index -2.50 +.8 point
  • Citi Emerging Markets Economic Surprise Index 5.60 +3.3 points
  • 10-Year TIPS Spread 1.56% -3.0 basis points
  • 18.0% chance of Fed rate hike at July 27 meeting, 32.8% chance at September 21 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -311 open in Japan 
  • China A50 Futures: Indicating n/a open in China
  • DAX Futures: Indicating -57 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my index hedges and emerging market shorts
  • Disclosed Trades: None
  • Market Exposure: 25% Net Long

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