Friday, August 12, 2016

Stocks Slightly Lower into Final Hour on Global Growth Worries, Yen Strength, Profit-Taking, Metals & Mining/Road & Rail Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 11.74 +.51%
  • Euro/Yen Carry Return Index 117.96 -.53%
  • Emerging Markets Currency Volatility(VXY) 10.10 -.1%
  • S&P 500 Implied Correlation 45.31 +2.1%
  • ISE Sentiment Index 153.0 +106.76%
  • Total Put/Call .71 -24.47%
  • NYSE Arms 1.13 +110.56
Credit Investor Angst:
  • North American Investment Grade CDS Index 71.83 +.81%
  • America Energy Sector High-Yield CDS Index 718.0 +1.47%
  • European Financial Sector CDS Index 88.51 +2.17%
  • Western Europe Sovereign Debt CDS Index 23.26 +1.20%
  • Asia Pacific Sovereign Debt CDS Index 43.86 -.25%
  • Emerging Market CDS Index 245.64 +1.33%
  • iBoxx Offshore RMB China Corporate High Yield Index 131.75 +.07%
  • 2-Year Swap Spread 25.0 unch.
  • TED Spread 53.75 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -40.25 +2.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 73.37 -.39%
  • 3-Month T-Bill Yield .27% -1.0 basis point
  • Yield Curve 81.0 -1.0 basis point
  • China Import Iron Ore Spot $60.37/Metric Tonne +1.70%
  • Citi US Economic Surprise Index 10.90 -5.9 points
  • Citi Eurozone Economic Surprise Index 28.6 +.8 point
  • Citi Emerging Markets Economic Surprise Index 3.0 -3.4 points
  • 10-Year TIPS Spread 1.46% -2.0 basis points
  • 19.8% chance of Fed rate hike at Nov. 2 meeting, 42.1% chance at Dec. 14 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -101 open in Japan 
  • China A50 Futures: Indicating +33 open in China
  • DAX Futures: Indicating -13 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my retail/biotech sector longs and emerging market shorts
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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