Friday, December 30, 2016

Stocks Reversing Lower into Final Hour on Pension Rebalancing, Profit-Taking, Technical Selling, Tech/Biotech Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Light
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 14.29 +6.88%
  • Euro/Yen Carry Return Index 128.41 +.55%
  • Emerging Markets Currency Volatility(VXY) 11.34 -.18%
  • S&P 500 Implied Correlation 51.03 -1.14%
  • ISE Sentiment Index 56.0 -33.33%
  • Total Put/Call 1.0 +7.53%
  • NYSE Arms 1.55 +30.72%
Credit Investor Angst:
  • North American Investment Grade CDS Index 67.48 -.39%
  • America Energy Sector High-Yield CDS Index 458.0 +.98%
  • European Financial Sector CDS Index 93.57 -1.53%
  • Western Europe Sovereign Debt CDS Index 20.87 +1.78%
  • Asia Pacific Sovereign Debt CDS Index 36.11 -4.33%
  • Emerging Market CDS Index 241.99 +.39%
  • iBoxx Offshore RMB China Corporate High Yield Index 133.21 +.01%
  • 2-Year Swap Spread 26.0 +1.0 basis points
  • TED Spread 50.0 -3.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -56.0 -2.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.79 unch.
  • 3-Month T-Bill Yield .50% +5.0 basis points
  • Yield Curve 126.0 unch.
  • China Import Iron Ore Spot $78.87/Metric Tonne -1.94%
  • Citi US Economic Surprise Index 23.30 -.6 point
  • Citi Eurozone Economic Surprise Index 53.10 -1.0 basis point
  • Citi Emerging Markets Economic Surprise Index 18.10 +.2 point
  • 10-Year TIPS Spread 1.97% +1.0 basis point
  • 31.3% chance of Fed rate hike at March 15 meeting, 42.0% chance at May 3 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -29 open in Japan 
  • China A50 Futures: Indicating +2 open in China
  • DAX Futures: Indicating -35 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my index hedges and emerging markets shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
  • Market Exposure: Moved to 25% Net Long

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