Monday, November 28, 2016

Stocks Lower into Final Hour on US Election Recount Concerns, Less Economic Optimism, Yen Strength, Energy/Healthcare Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 12.85 +4.1%
  • Euro/Yen Carry Return Index 124.18 -.78%
  • Emerging Markets Currency Volatility(VXY) 11.0 -1.96%
  • S&P 500 Implied Correlation 53.48 -.07%
  • ISE Sentiment Index 75.0 -34.78%
  • Total Put/Call .88 +11.4%
  • NYSE Arms 1.03 unch.
Credit Investor Angst:
  • North American Investment Grade CDS Index 73.36 +.15%
  • America Energy Sector High-Yield CDS Index 621.0 +1.24%
  • European Financial Sector CDS Index 111.0 +2.05%
  • Western Europe Sovereign Debt CDS Index 23.39 -.36%
  • Asia Pacific Sovereign Debt CDS Index 44.24 -.15%
  • Emerging Market CDS Index 268.64 -.86%
  • iBoxx Offshore RMB China Corporate High Yield Index 132.94 +.04%
  • 2-Year Swap Spread 20.75 +1.0 basis point
  • TED Spread 45.0 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -61.25 -6.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.36 +.35%
  • 3-Month T-Bill Yield .46% -3.0 basis points
  • Yield Curve 122.0 -2.0 basis points
  • China Import Iron Ore Spot $80.83/Metric Tonne +1.53%
  • Citi US Economic Surprise Index 11.60 +2.3 points
  • Citi Eurozone Economic Surprise Index 66.0 +2.5 points
  • Citi Emerging Markets Economic Surprise Index -4.4 +1.2 points
  • 10-Year TIPS Spread 1.88% -5.0 basis points
  • 100.0% chance of Fed rate hike at Feb. 1 meeting, 100.0% chance at March 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -46 open in Japan 
  • China A50 Futures: Indicating -13 open in China
  • DAX Futures: Indicating -1 open in Germany
Portfolio: 
  • Lower: On losses in my medical/biotech/retail sector longs and emerging markets shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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