Wednesday, October 26, 2016

Stocks Slightly Lower into Final Hour on Rising European/Emerging Markets/US High-Yield Debt Angst, Earnings Outlook Worries, Oil Decline, Transport/Medical Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Slightly Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 14.55 +8.1%
  • Euro/Yen Carry Return Index 119.07 +.44%
  • Emerging Markets Currency Volatility(VXY) 9.42 +.21%
  • S&P 500 Implied Correlation 47.83 +13.42%
  • ISE Sentiment Index 105.0 unch.
  • Total Put/Call .90 -8.16%
  • NYSE Arms .70 -42.48
Credit Investor Angst:
  • North American Investment Grade CDS Index 75.29 +1.31%
  • America Energy Sector High-Yield CDS Index 537.0 +2.28%
  • European Financial Sector CDS Index 95.61 +1.17%
  • Western Europe Sovereign Debt CDS Index 18.41 +1.74%
  • Asia Pacific Sovereign Debt CDS Index 33.55 +.12%
  • Emerging Market CDS Index 233.68 +1.65%
  • iBoxx Offshore RMB China Corporate High Yield Index 132.55 +.02%
  • 2-Year Swap Spread 22.50 -.5 basis point
  • TED Spread 55.25 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -43.0 +1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.28 -.44%
  • 3-Month T-Bill Yield .32% -1.0 basis point
  • Yield Curve 92.0 +1.0 basis point
  • China Import Iron Ore Spot $63.07/Metric Tonne +1.79%
  • Citi US Economic Surprise Index -10.9 +2.2 points
  • Citi Eurozone Economic Surprise Index 35.5 -.2 point
  • Citi Emerging Markets Economic Surprise Index -15.90 +1.5 points
  • 10-Year TIPS Spread 1.73% +3.0 basis points
  • 70.9% chance of Fed rate hike at Dec. 14 meeting, 72.7% chance at Feb. 1 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -11 open in Japan 
  • China A50 Futures: Indicating -3 open in China
  • DAX Futures: Indicating -31 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my index hedges and emerging markets shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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