Wednesday, November 16, 2016

Stocks Slightly Lower into Final Hour on European/US High-Yield Debt Angst, Oil Decline, Profit-Taking, Metals & Mining/Bank Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Mixed
  • Volume: Slightly Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.77 +2.99%
  • Euro/Yen Carry Return Index 121.72 -.47%
  • Emerging Markets Currency Volatility(VXY) 11.03 -11.09%
  • S&P 500 Implied Correlation 31.40 +9.26%
  • ISE Sentiment Index 63.0 -42.20%
  • Total Put/Call .89 -1.11%
  • NYSE Arms 2.08 +95.51
Credit Investor Angst:
  • North American Investment Grade CDS Index 75.19 +.57%
  • America Energy Sector High-Yield CDS Index 634.0 -2.88%
  • European Financial Sector CDS Index 102.44 +1.80%
  • Western Europe Sovereign Debt CDS Index 21.06 +1.57%
  • Asia Pacific Sovereign Debt CDS Index 43.94 +2.66%
  • Emerging Market CDS Index 271.95 +1.63%
  • iBoxx Offshore RMB China Corporate High Yield Index 132.75 +.02%
  • 2-Year Swap Spread 23.50 -.5 basis point
  • TED Spread 43.5 +2.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -48.25 -.75 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.65 -.39%
  • 3-Month T-Bill Yield .46% -3.0 basis points
  • Yield Curve 122.0 -2.0 basis points
  • China Import Iron Ore Spot $72.42/Metric Tonne -.36%
  • Citi US Economic Surprise Index -4.40 -2.2 points
  • Citi Eurozone Economic Surprise Index 39.7 +.4 point
  • Citi Emerging Markets Economic Surprise Index -4.10 +.3 point
  • 10-Year TIPS Spread 1.87% unch.
  • 94.4% chance of Fed rate hike at Feb. 1 meeting, 95.0% chance at March 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -12 open in Japan 
  • China A50 Futures: Indicating -12 open in China
  • DAX Futures: Indicating -1 open in Germany
Portfolio: 
  • Higher: On gains in my medical/tech sector longs and emerging market shorts
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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