Tuesday, June 14, 2016

Stocks Lower into Final Hour on Escalating Brexit Fears, Rising Eurozone/Emerging Markets/US High-Yield Debt Angst, Emerging Market Currency Worries, Transport/Financial Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 20.87 -.48%
  • Euro/Yen Carry Return Index 124.15 -.9%
  • Emerging Markets Currency Volatility(VXY) 11.29 +2.54%
  • S&P 500 Implied Correlation 60.21 -3.18%
  • ISE Sentiment Index 83.0 +23.53%
  • Total Put/Call 1.01 +8.6%
  • NYSE Arms 1.64 +25.98
Credit Investor Angst:
  • North American Investment Grade CDS Index 84.69 +3.83%
  • America Energy Sector High-Yield CDS Index 764.0 +1.64%
  • European Financial Sector CDS Index 114.62 +6.08%
  • Western Europe Sovereign Debt CDS Index 29.96 +5.12%
  • Asia Pacific Sovereign Debt CDS Index 55.36 +1.72%
  • Emerging Market CDS Index 310.04 +3.45%
  • iBoxx Offshore RMB China Corporate High Yield Index 129.28 -.17%
  • 2-Year Swap Spread 15.25 +1.0 basis point
  • TED Spread 38.5 -1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -37.0 -4.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 71.20 -.57%
  • 3-Month T-Bill Yield .27% +2.0 basis points
  • Yield Curve 89.0 -1.0 basis point
  • China Import Iron Ore Spot $50.57/Metric Tonne -4.42%
  • Citi US Economic Surprise Index -22.30 +.6 point
  • Citi Eurozone Economic Surprise Index -4.20 +.5 point
  • Citi Emerging Markets Economic Surprise Index -1.7 -.6 point
  • 10-Year TIPS Spread 1.48% -3.0 basis points
  • 17.6% chance of Fed rate hike at July 27 meeting, 32.2% chance at September 21 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -120 open in Japan 
  • China A50 Futures: Indicating -326 open in China
  • DAX Futures: Indicating +5 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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