Thursday, October 20, 2016

Stocks Modestly Lower into Final Hour on Fed Rate-Hike Fears, Earnings Outlook Concerns, Oil Decline, Road & Rail/Homebuilding Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Slightly Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 14.01 -2.78%
  • Euro/Yen Carry Return Index 118.61 +.03%
  • Emerging Markets Currency Volatility(VXY) 9.44 -2.38%
  • S&P 500 Implied Correlation 42.35 -4.1%
  • ISE Sentiment Index 77.0 +10.0%
  • Total Put/Call 1.03 +9.57%
  • NYSE Arms .53 -31.36
Credit Investor Angst:
  • North American Investment Grade CDS Index 73.90 -.02%
  • America Energy Sector High-Yield CDS Index 521.0 -3.46%
  • European Financial Sector CDS Index 94.12 -1.19%
  • Western Europe Sovereign Debt CDS Index 19.0 +.58%
  • Asia Pacific Sovereign Debt CDS Index 33.92 +.37%
  • Emerging Market CDS Index 234.58 -1.03%
  • iBoxx Offshore RMB China Corporate High Yield Index 132.45 -.04%
  • 2-Year Swap Spread 23.75 +.5 basis point
  • TED Spread 55.25 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -41.5 -3.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.41 -.25%
  • 3-Month T-Bill Yield .32% -1.0 basis point
  • Yield Curve 93.0 -2.0 basis points
  • China Import Iron Ore Spot $58.85/Metric Tonne +.82%
  • Citi US Economic Surprise Index -23.80 -.2 point
  • Citi Eurozone Economic Surprise Index 17.6 -.7 point
  • Citi Emerging Markets Economic Surprise Index -18.30 +.1 point
  • 10-Year TIPS Spread 1.69% unch.
  • 69.2% chance of Fed rate hike at Dec. 14 meeting, 70.5% chance at Feb. 1 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +80 open in Japan 
  • China A50 Futures: Indicating +4 open in China
  • DAX Futures: Indicating +8 open in Germany
Portfolio: 
  • Higher: On gains in my biotech/medical sector longs, index hedges and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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