Thursday, November 03, 2016

Stocks Reversing Lower into Final Hour on Election Uncertainty, Earnings Outlook Concerns, Oil Decline, Biotech/Gaming 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) 21.5 +11.1%
  • Euro/Yen Carry Return Index 119.49 -.21%
  • Emerging Markets Currency Volatility(VXY) 10.5 -.66%
  • S&P 500 Implied Correlation 69.37 +8.04%
  • ISE Sentiment Index 50.o +2.0%
  • Total Put/Call 1.12 +16.42%
  • NYSE Arms .79 -38.96
Credit Investor Angst:
  • North American Investment Grade CDS Index 79.90 +.06%
  • America Energy Sector High-Yield CDS Index 612.28 -.72%
  • European Financial Sector CDS Index 99.23 -1.93%
  • Western Europe Sovereign Debt CDS Index 19.05 -1.60%
  • Asia Pacific Sovereign Debt CDS Index 36.37 +.55%
  • Emerging Market CDS Index 251.75 -.51%
  • iBoxx Offshore RMB China Corporate High Yield Index 132.59 +.04%
  • 2-Year Swap Spread 23.75 +.5 basis point
  • TED Spread 52.0 -1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -45.0 +.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.22 +.1%
  • 3-Month T-Bill Yield .37% +1.0 basis point
  • Yield Curve 100.0 +2.0 basis points
  • China Import Iron Ore Spot $65.46/Metric Tonne +.23%
  • Citi US Economic Surprise Index -13.10 -3.1 points
  • Citi Eurozone Economic Surprise Index 43.5 -1.9 points
  • Citi Emerging Markets Economic Surprise Index -3.20 +1.7 points
  • 10-Year TIPS Spread 1.69% -2.0 basis points
  • 78.0% chance of Fed rate hike at Dec. 14 meeting, 79.4% chance at Feb. 1 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -135 open in Japan 
  • China A50 Futures: Indicating -24 open in China
  • DAX Futures: Indicating -17 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my medical sector longs, index hedges and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 25% Net Long

No comments: