Friday, November 11, 2016

Stocks Slightly Lower into Afternoon on Rising European/Emerging Markets/US High-Yield Debt Angst, Emerging Markets Currency Concerns, Oil Decline, Commodity/Gaming Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Mixed
  • Volume: Above Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 15.02 +1.9%
  • Euro/Yen Carry Return Index 120.96 -.48%
  • Emerging Markets Currency Volatility(VXY) 11.28 +8.99%
  • S&P 500 Implied Correlation 40.57 +9.92%
  • ISE Sentiment Index 77.0 -17.2%
  • Total Put/Call 1.11 +24.72%
  • NYSE Arms 1.20 +99.0
Credit Investor Angst:
  • North American Investment Grade CDS Index 75.98 +.97%
  • America Energy Sector High-Yield CDS Index 643.0 +.34%
  • European Financial Sector CDS Index 100.46 +3.88%
  • Western Europe Sovereign Debt CDS Index 20.82 +6.93%
  • Asia Pacific Sovereign Debt CDS Index 41.82 +6.97%
  • Emerging Market CDS Index 267.04 +.58%
  • iBoxx Offshore RMB China Corporate High Yield Index 132.75 unch.
  • 2-Year Swap Spread 24.75 -.75 basis point
  • TED Spread 43.50 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -40.25 +.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 70.06 -.41%
  • 3-Month T-Bill Yield .47% unch.
  • Yield Curve 124.0 +3.0 basis points
  • China Import Iron Ore Spot $79.81/Metric Tonne +7.68%
  • Citi US Economic Surprise Index -7.90 unch.
  • Citi Eurozone Economic Surprise Index 34.6 unch.
  • Citi Emerging Markets Economic Surprise Index -4.60 unch.
  • 10-Year TIPS Spread 1.91% +1.0 basis point
  • 85.0% chance of Fed rate hike at Feb. 1 meeting, 87.1% chance at March 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +75 open in Japan 
  • China A50 Futures: Indicating +9 open in China
  • DAX Futures: Indicating +13 open in Germany
Portfolio: 
  • Higher: On gains in my tech/retail sector longs and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

No comments: