Wednesday, August 10, 2016

Stocks Falling into Final Hour on Earnings Outlook Concerns, Oil Decline, Yen Strength, Biotech/Energy Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 12.43 +6.6%
  • Euro/Yen Carry Return Index 118.21 -.11%
  • Emerging Markets Currency Volatility(VXY) 10.02 +.10%
  • S&P 500 Implied Correlation 46.03 +5.94%
  • ISE Sentiment Index 52.0 -45.26%
  • Total Put/Call .84 -7.69%
  • NYSE Arms 1.20 +19.18
Credit Investor Angst:
  • North American Investment Grade CDS Index 72.11 +1.26%
  • America Energy Sector High-Yield CDS Index 718.0 -2.08%
  • European Financial Sector CDS Index 88.12 +3.02%
  • Western Europe Sovereign Debt CDS Index 24.87 -.04%
  • Asia Pacific Sovereign Debt CDS Index 44.21 -1.37%
  • Emerging Market CDS Index 242.73 -.42%
  • iBoxx Offshore RMB China Corporate High Yield Index 131.80 +.14%
  • 2-Year Swap Spread 27.75 -.75 basis point
  • TED Spread 52.75 +1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -43.0 -.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 73.59 +.46%
  • 3-Month T-Bill Yield .28% unch.
  • Yield Curve 83.0 unch.
  • China Import Iron Ore Spot $60.58/Metric Tonne -1.59%
  • Citi US Economic Surprise Index 17.40 -1.6 points
  • Citi Eurozone Economic Surprise Index 27.9 -1.0 point
  • Citi Emerging Markets Economic Surprise Index 3.70 +.8 point
  • 10-Year TIPS Spread 1.46% -3.0 basis points
  • 20.0% chance of Fed rate hike at Nov. 2 meeting, 40.8% chance at Dec. 14 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -55 open in Japan 
  • China A50 Futures: Indicating +20 open in China
  • DAX Futures: Indicating -11 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my retail sector longs and emerging market shorts
  • Disclosed Trades: None
  • Market Exposure: 25% Net Long

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