Wednesday, November 02, 2016

Stocks Falling into Final Hour on Election Uncertainty, European/Emerging Markets/US High-Yield Debt Angst, Oil Decline, Telecom/Gaming Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Slightly Above Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 19.2 +3.5%
  • Euro/Yen Carry Return Index 119.72 -.46%
  • Emerging Markets Currency Volatility(VXY) 10.54 +3.43%
  • S&P 500 Implied Correlation 62.55 +2.05%
  • ISE Sentiment Index 52.o unch.
  • Total Put/Call 1.35 -6.25%
  • NYSE Arms 1.04 +47.3
Credit Investor Angst:
  • North American Investment Grade CDS Index 80.2 +1.16%
  • America Energy Sector High-Yield CDS Index 614.76 +2.69%
  • European Financial Sector CDS Index 101.19 +1.56%
  • Western Europe Sovereign Debt CDS Index 19.36 +2.22%
  • Asia Pacific Sovereign Debt CDS Index 36.08 +.64%
  • Emerging Market CDS Index 253.72 +2.89%
  • iBoxx Offshore RMB China Corporate High Yield Index 132.52 unch.
  • 2-Year Swap Spread 23.25 -1.0 basis point
  • TED Spread 53.25 -1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -45.25 +1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.11 -.12%
  • 3-Month T-Bill Yield .36% +1.0 basis point
  • Yield Curve 98.0 -2.0 basis points
  • China Import Iron Ore Spot $65.31/Metric Tonne -.03%
  • Citi US Economic Surprise Index -10.0 -1.7 points
  • Citi Eurozone Economic Surprise Index 45.4 +4.2 points
  • Citi Emerging Markets Economic Surprise Index -4.90 -.9 point
  • 10-Year TIPS Spread 1.71% -2.0 basis points
  • 80.0% chance of Fed rate hike at Dec. 14 meeting, 80.8% chance at Feb. 1 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -104 open in Japan 
  • China A50 Futures: Indicating +13 open in China
  • DAX Futures: Indicating +12 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my retail/medical sector longs, index hedges and emerging markets shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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