Tuesday, August 30, 2016

Stocks Falling into Final Hour on Fed Rate-Hike Fears, Global Growth Worries, Oil Decline, Retail/Metals & Mining Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.53 +4.56%
  • Euro/Yen Carry Return Index 119.89 +.66%
  • Emerging Markets Currency Volatility(VXY) 10.16 +.89%
  • S&P 500 Implied Correlation 46.75 +2.57%
  • ISE Sentiment Index 83.0 -23.15%
  • Total Put/Call .95 +3.26%
  • NYSE Arms 1.02 +101.09
Credit Investor Angst:
  • North American Investment Grade CDS Index 71.21 -.09%
  • America Energy Sector High-Yield CDS Index 678.0 -1.37%
  • European Financial Sector CDS Index 88.0 -1.22%
  • Western Europe Sovereign Debt CDS Index 25.44 +4.03%
  • Asia Pacific Sovereign Debt CDS Index 42.10 +.96%
  • Emerging Market CDS Index 243.99 +.74%
  • iBoxx Offshore RMB China Corporate High Yield Index 131.81 -.02%
  • 2-Year Swap Spread 24.5 +1.5 basis points
  • TED Spread 51.75 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -40.25 -1.5 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.35 -.46%
  • 3-Month T-Bill Yield .32% +1.0 basis point
  • Yield Curve 77.0 +1.0 basis point
  • China Import Iron Ore Spot $59.31/Metric Tonne +.29%
  • Citi US Economic Surprise Index 12.1 +1.5 points
  • Citi Eurozone Economic Surprise Index 6.0 -10.9 points
  • Citi Emerging Markets Economic Surprise Index -5.9 -1.6 points
  • 10-Year TIPS Spread 1.47% unch.
  • 39.7% chance of Fed rate hike at Nov. 2 meeting, 58.6% chance at Dec. 14 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +115 open in Japan 
  • China A50 Futures: Indicating +11 open in China
  • DAX Futures: Indicating -12 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my tech/retail sector longs 
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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