Friday, October 28, 2016

Stocks Reversing Lower into Afternoon on Election Uncertainty, Oil Decline, Earnings Outlook Worries, Healthcare/Financial Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 16.28 +5.99%
  • Euro/Yen Carry Return Index 120.03 +.17%
  • Emerging Markets Currency Volatility(VXY) 9.62 +1.58%
  • S&P 500 Implied Correlation 55.47 +7.56%
  • ISE Sentiment Index 56.0 -42.27%
  • Total Put/Call 1.03 +19.77%
  • NYSE Arms 1.03 +85.81
Credit Investor Angst:
  • North American Investment Grade CDS Index 77.01 +1.75%
  • America Energy Sector High-Yield CDS Index 575.0 +2.27%
  • European Financial Sector CDS Index 96.0 +.72%
  • Western Europe Sovereign Debt CDS Index 18.60 +4.73%
  • Asia Pacific Sovereign Debt CDS Index 33.83 +.58%
  • Emerging Market CDS Index 238.45 +1.03%
  • iBoxx Offshore RMB China Corporate High Yield Index 132.55 +.03%
  • 2-Year Swap Spread 22.75 +.5 basis point
  • TED Spread 61.0 +4.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -45.5 +.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.09 -.08%
  • 3-Month T-Bill Yield .28% unch.
  • Yield Curve 99.0 +3.0 basis points
  • China Import Iron Ore Spot $63.96/Metric Tonne +1.46%
  • Citi US Economic Surprise Index -9.1 +3.5 points
  • Citi Eurozone Economic Surprise Index 43.5 +7.6 points
  • Citi Emerging Markets Economic Surprise Index -14.10 +1.0 point
  • 10-Year TIPS Spread 1.73% unch.
  • 67.6% chance of Fed rate hike at Dec. 14 meeting, 68.9% chance at Feb. 1 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -63 open in Japan 
  • China A50 Futures: Indicating +16 open in China
  • DAX Futures: Indicating -56 open in Germany
Portfolio: 
  • Higher: On gains in my medical/retail sector longs, index hedges and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 25% Net Long

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