Friday, October 21, 2016

Stocks Slightly Lower into Afternoon on Global Growth Worries, Earnings Outlook Concerns, Technical Selling, Biotech/Homebuilding Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.49 -1.89%
  • Euro/Yen Carry Return Index 117.88 -.67%
  • Emerging Markets Currency Volatility(VXY) 9.37 +.32%
  • S&P 500 Implied Correlation 41.52 +.19%
  • ISE Sentiment Index 99.0 +35.62%
  • Total Put/Call .97 -1.02%
  • NYSE Arms 1.25 +93.6
Credit Investor Angst:
  • North American Investment Grade CDS Index 74.06 +.24%
  • America Energy Sector High-Yield CDS Index 522.0 -.19%
  • European Financial Sector CDS Index 93.50 -.66%
  • Western Europe Sovereign Debt CDS Index 18.12 -5.38%
  • Asia Pacific Sovereign Debt CDS Index 34.07 +.40%
  • Emerging Market CDS Index 233.31 -.21%
  • iBoxx Offshore RMB China Corporate High Yield Index 132.47 +.02%
  • 2-Year Swap Spread 23.75 unch.
  • TED Spread 55.75 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -43.25 -1.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.19 -.29%
  • 3-Month T-Bill Yield .32% unch.
  • Yield Curve 91.0 -2.0 basis points
  • China Import Iron Ore Spot $58.72/Metric Tonne -.22%
  • Citi US Economic Surprise Index -23.0 +.8 point
  • Citi Eurozone Economic Surprise Index 16.6 -1.0 point
  • Citi Emerging Markets Economic Surprise Index -18.40 -.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 +76 open in Japan 
  • China A50 Futures: Indicating +2 open in China
  • DAX Futures: Indicating -6 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech sector longs and emerging market shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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