Monday, December 12, 2016

Stocks Reversing Lower into Final Hour on China Bubble-Bursting Fears, Yen Strength, Technical Selling, Defense.Transport Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Slightly Above Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 12.69 +8.0%
  • Euro/Yen Carry Return Index 127.80 +.53%
  • Emerging Markets Currency Volatility(VXY) 11.40 +1.97%
  • S&P 500 Implied Correlation 49.88 -2.92%
  • ISE Sentiment Index 74.0 -14.94%
  • Total Put/Call .80 -1.23%
  • NYSE Arms .78 +2.35%
Credit Investor Angst:
  • North American Investment Grade CDS Index 67.94 +.62%
  • America Energy Sector High-Yield CDS Index 485.0 +4.93%
  • European Financial Sector CDS Index 94.25 -4.22%
  • Western Europe Sovereign Debt CDS Index 22.69 -5.20%
  • Asia Pacific Sovereign Debt CDS Index 36.27 +.93%
  • Emerging Market CDS Index 244.65 -2.30%
  • iBoxx Offshore RMB China Corporate High Yield Index 133.12 +.07%
  • 2-Year Swap Spread 22.75 -.25 basis point
  • TED Spread 44.0 +1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -54.75 -.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 70.32 +.69%
  • 3-Month T-Bill Yield .51% -2.0 basis points
  • Yield Curve 133.0 -1.0 basis point
  • China Import Iron Ore Spot $83.58/Metric Tonne +2.35%
  • Citi US Economic Surprise Index 29.70 -.5 point
  • Citi Eurozone Economic Surprise Index 60.10 -2.5 basis points
  • Citi Emerging Markets Economic Surprise Index 2.0 -2.0 points
  • 10-Year TIPS Spread 2.0% unch.
  • 100.0% chance of Fed rate hike at Feb. 1 meeting, 100.0% chance at March 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -35 open in Japan 
  • China A50 Futures: Indicating -15 open in China
  • DAX Futures: Indicating -25 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my medical 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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