Wednesday, December 14, 2016

Stocks Reversing Lower into Afternoon on Fed Rate-Hike Worries, Earnings Outlook Concerns, Oil Decline, Energy/Homebuilding Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Slightly Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 13.07 +2.75%
  • Euro/Yen Carry Return Index 128.22 +.29%
  • Emerging Markets Currency Volatility(VXY) 11.13 +.09%
  • S&P 500 Implied Correlation 49.32 -3.66%
  • ISE Sentiment Index 65.0 -40.37%
  • Total Put/Call .86 +43.33%
  • NYSE Arms .76 -5.99%
Credit Investor Angst:
  • North American Investment Grade CDS Index 67.71 -.12%
  • America Energy Sector High-Yield CDS Index 438.0 +.48%
  • European Financial Sector CDS Index 95.12 +1.96%
  • Western Europe Sovereign Debt CDS Index 20.41 +3.19%
  • Asia Pacific Sovereign Debt CDS Index 35.57 -1.93%
  • Emerging Market CDS Index 242.64 +.03%
  • iBoxx Offshore RMB China Corporate High Yield Index 133.03 -.08%
  • 2-Year Swap Spread 23.25 +1.25 basis points
  • TED Spread 44.0 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -53.75 +1.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 70.0 -.5%
  • 3-Month T-Bill Yield .53% unch,
  • Yield Curve 128.0 -3.0 basis points
  • China Import Iron Ore Spot $79.18/Metric Tonne -5.08%
  • Citi US Economic Surprise Index 27.50 -5.1 points
  • Citi Eurozone Economic Surprise Index 57.50 -1.5 basis points
  • Citi Emerging Markets Economic Surprise Index 3.10 -.1 point
  • 10-Year TIPS Spread 1.96% -3.0 basis points
  • 36.1% chance of Fed rate hike at March 15 meeting, 46.0% chance at May 3 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +110 open in Japan 
  • China A50 Futures: Indicating -4 open in China
  • DAX Futures: Indicating +35 open in Germany
Portfolio: 
  • Higher: On gains in my tech sector longs, index hedges and emerging market shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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