Friday, November 18, 2016

Stocks Slightly Lower into Final Hour on Rising Long-Term Rates, European/Emerging Markets Debt Angst, Profit-Taking, Biotech/Metals & Mining Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 13.12 -1.72%
  • Euro/Yen Carry Return Index 122.5 +.22%
  • Emerging Markets Currency Volatility(VXY) 11.14 +3.05%
  • S&P 500 Implied Correlation 29.78 -6.12%
  • ISE Sentiment Index 68.0 -17.07%
  • Total Put/Call .93 +8.14%
  • NYSE Arms 1.0 +19.8
Credit Investor Angst:
  • North American Investment Grade CDS Index 76.32 +1.72%
  • America Energy Sector High-Yield CDS Index 617.0 -.56%
  • European Financial Sector CDS Index 108.86 +3.17%
  • Western Europe Sovereign Debt CDS Index 21.95 +.41%
  • Asia Pacific Sovereign Debt CDS Index 44.89 +2.88%
  • Emerging Market CDS Index 281.10 +1.49%
  • iBoxx Offshore RMB China Corporate High Yield Index 132.78 unch.
  • 2-Year Swap Spread 23.75 -.25 basis point
  • TED Spread 48.5 +2.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -51.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.25 -.16%
  • 3-Month T-Bill Yield .43% unch.
  • Yield Curve 128.0 +3.0 basis points
  • China Import Iron Ore Spot $72.79/Metric Tonne -1.03%
  • Citi US Economic Surprise Index 7.90 -.4 point
  • Citi Eurozone Economic Surprise Index 40.7 +.5 point
  • Citi Emerging Markets Economic Surprise Index -5.8 -.9 point
  • 10-Year TIPS Spread 1.95% +3.0 basis points
  • 98.1% chance of Fed rate hike at Feb. 1 meeting, 98.4% chance at March 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -167 open in Japan 
  • China A50 Futures: Indicating -1 open in China
  • DAX Futures: Indicating -10 open in Germany
Portfolio: 
  • Lower: On losses in my medical/retail/biotech sector longs
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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