Thursday, October 13, 2016

Stocks Slightly Lower into Final Hour on Global Growth Fears, Earnings Outlook Concerns, Yen Strength, Financial/Homebuilding 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) 16.55 +4.02%
  • Euro/Yen Carry Return Index 119.51 -.23%
  • Emerging Markets Currency Volatility(VXY) 10.41 +.03%
  • S&P 500 Implied Correlation 48.0 +3.76%
  • ISE Sentiment Index 62.0 -35.42%
  • Total Put/Call 1.01 -3.81%
  • NYSE Arms .93 +.72
Credit Investor Angst:
  • North American Investment Grade CDS Index 75.89 +.47%
  • America Energy Sector High-Yield CDS Index 602.0 -.66%
  • European Financial Sector CDS Index 100.89 +2.03%
  • Western Europe Sovereign Debt CDS Index 20.96 +.29%
  • Asia Pacific Sovereign Debt CDS Index 34.53 +.89%
  • Emerging Market CDS Index 237.01 +.1%
  • iBoxx Offshore RMB China Corporate High Yield Index 132.37 -.01%
  • 2-Year Swap Spread 23.0 +.25 basis point
  • TED Spread 53.75 +1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -42.75 -3.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.20 +.02%
  • 3-Month T-Bill Yield .28% -8.0 basis points 
  • Yield Curve 90.0 -1.0 basis point
  • China Import Iron Ore Spot $56.67/Metric Tonne -.86%
  • Citi US Economic Surprise Index -6.60 +.8 point
  • Citi Eurozone Economic Surprise Index 22.6 -.2 point
  • Citi Emerging Markets Economic Surprise Index -17.70 -4.0 points
  • 10-Year TIPS Spread 1.64% -1.0 basis point
  • 65.1% chance of Fed rate hike at Dec. 14 meeting, 67.2% chance at Feb. 1 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +25 open in Japan 
  • China A50 Futures: Indicating -10 open in China
  • DAX Futures: Indicating +33 open in Germany
Portfolio: 
  • Higher: On gains in my biotech sector longs, index hedges and emerging markets shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

No comments: