Tuesday, October 11, 2016

Stocks Falling Substantially into Afternoon on Rising European/Emerging Markets/US High-Yield Debt Angst, Earnings Outlook Worries, Emerging Market Currency Declines, Biotech/Tech 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) 15.79 +17.9%
  • Euro/Yen Carry Return Index 119.09 -1.22%
  • Emerging Markets Currency Volatility(VXY) 10.35 +1.37%
  • S&P 500 Implied Correlation 46.77 +16.3%
  • ISE Sentiment Index 61.0 -59.6%
  • Total Put/Call 1.12 +21.7%
  • NYSE Arms 1.25 +42.9
Credit Investor Angst:
  • North American Investment Grade CDS Index 75.66 +1.73%
  • America Energy Sector High-Yield CDS Index 607.0 -.36%
  • European Financial Sector CDS Index 100.12 +1.7%
  • Western Europe Sovereign Debt CDS Index 20.86 -1.09%
  • Asia Pacific Sovereign Debt CDS Index 33.51 +1.70%
  • Emerging Market CDS Index 239.62 +1.69%
  • iBoxx Offshore RMB China Corporate High Yield Index 132.29 -.13%
  • 2-Year Swap Spread 23.25 +.25 basis point
  • TED Spread 56.0 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -40.0 +1.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.24 -.76%
  • 3-Month T-Bill Yield .33% +1.0 basis point 
  • Yield Curve 89.0 unch.
  • China Import Iron Ore Spot $57.68/Metric Tonne +1.82%
  • Citi US Economic Surprise Index -5.20 -2.3 points
  • Citi Eurozone Economic Surprise Index 22.2 +1.0 point
  • Citi Emerging Markets Economic Surprise Index -11.90 unch.
  • 10-Year TIPS Spread 1.65% +1.0 basis point
  • 67.6% chance of Fed rate hike at Dec. 14 meeting, 70.3% chance at Feb. 1 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -174 open in Japan 
  • China A50 Futures: Indicating -16 open in China
  • DAX Futures: Indicating -31 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my retail/medical/biotech/tech sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) shorts
  • Market Exposure: Moved to 25% Net Long

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