Friday, October 07, 2016

Stocks Lower into Close on Fed Rate-Hike Fears, Earnings Outlook Worries, Oil Decline, Homebuilding/Transport Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Slightly Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 13.31 +3.6%
  • Euro/Yen Carry Return Index 120.40 -.58%
  • Emerging Markets Currency Volatility(VXY) 10.18 -.29%
  • S&P 500 Implied Correlation 43.09 +4.56%
  • ISE Sentiment Index 69.0 -1.43%
  • Total Put/Call 1.13 +13.13%
  • NYSE Arms .77 -20.93
Credit Investor Angst:
  • North American Investment Grade CDS Index 73.96 -1.67%
  • America Energy Sector High-Yield CDS Index 615.0 -1.04%
  • European Financial Sector CDS Index 99.16 -.56%
  • Western Europe Sovereign Debt CDS Index 21.84 +.37%
  • Asia Pacific Sovereign Debt CDS Index 32.88 +.55%
  • Emerging Market CDS Index 235.30 -.50%
  • iBoxx Offshore RMB China Corporate High Yield Index 132.23 -.07%
  • 2-Year Swap Spread 23.0 +.75 basis point
  • TED Spread 53.75 +1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -40.0 +4.74 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.70 -.10%
  • 3-Month T-Bill Yield .32% unch. 
  • Yield Curve 89.0 +2.0 basis points
  • China Import Iron Ore Spot $55.86/Metric Tonne unch.
  • Citi US Economic Surprise Index -2.0 -3.8 points
  • Citi Eurozone Economic Surprise Index 13.2 +5.9 points
  • Citi Emerging Markets Economic Surprise Index -11.60 +.1 point
  • 10-Year TIPS Spread 1.64% -1.0 basis point
  • 64.3% chance of Fed rate hike at Dec. 14 meeting, 67.2% chance at Feb. 1 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -46 open in Japan 
  • China A50 Futures: Indicating n/a open in China
  • DAX Futures: Indicating -4 open in Germany
Portfolio: 
  • Higher: On gains in my retail/medical sector longs, index hedges and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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