Wednesday, December 28, 2016

Stocks Reversing Lower into Final Hour on Disappointing US Economic Data, Yen Strength, Technical Selling, Tech/Homebuilding Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Light
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 12.94 +7.92%
  • Euro/Yen Carry Return Index 127.28 -.77%
  • Emerging Markets Currency Volatility(VXY) 11.35 -.53%
  • S&P 500 Implied Correlation 49.26 -.12%
  • ISE Sentiment Index 113.0 +73.85%
  • Total Put/Call .89 -12.75%
  • NYSE Arms 1.12 +78.62%
Credit Investor Angst:
  • North American Investment Grade CDS Index 67.73 +1.96%
  • America Energy Sector High-Yield CDS Index 453.0 -.13%
  • European Financial Sector CDS Index 94.14 +2.87%
  • Western Europe Sovereign Debt CDS Index 20.39 -.68%
  • Asia Pacific Sovereign Debt CDS Index 37.32 +.03%
  • Emerging Market CDS Index 242.37 -.57%
  • iBoxx Offshore RMB China Corporate High Yield Index 133.18 +.18%
  • 2-Year Swap Spread 23.5 -4.75 basis points
  • TED Spread 47.5 +1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -77.75 -11.5 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.52 -.14%
  • 3-Month T-Bill Yield .51% unch.
  • Yield Curve 125.0 -8.0 basis points
  • China Import Iron Ore Spot $80.68/Metric Tonne +1.59%
  • Citi US Economic Surprise Index 24.30 +.2 point
  • Citi Eurozone Economic Surprise Index 53.70 +7.7 basis points
  • Citi Emerging Markets Economic Surprise Index 10.60 +.2 point
  • 10-Year TIPS Spread 1.99% -2.0 basis points
  • 33.3% chance of Fed rate hike at March 15 meeting, 43.7% chance at May 3 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -32 open in Japan 
  • China A50 Futures: Indicating -24 open in China
  • DAX Futures: Indicating -37 open in Germany
Portfolio: 
  • Lower: On losses in my tech/retail/biotech sector longs and emerging markets shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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