Tuesday, February 28, 2017

Stocks Lower into Final Hour on Diminishing Tax Reform Hopes, Yen Strength, Profit-Taking, Hospital/Retail Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Aaround Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.77 +5.61%
  • Euro/Yen Carry Return Index 124.22 -.35%
  • Emerging Markets Currency Volatility(VXY) 9.56 -.62%
  • S&P 500 Implied Correlation 46.13 -1.45%
  • ISE Sentiment Index 75.0 +1.0%
  • Total Put/Call 1.13 +36.13%
  • NYSE Arms 1.32 +78.90%
Credit Investor Angst:
  • North American Investment Grade CDS Index 62.12 -.43%
  • America Energy Sector High-Yield CDS Index 357.0 +.55%
  • European Financial Sector CDS Index 91.85 -1.73%
  • Western Europe Sovereign Debt CDS Index 20.87 -5.84%
  • Asia Pacific Sovereign Debt CDS Index 26.60 +4.09%
  • Emerging Market CDS Index 217.26 +1.07%
  • iBoxx Offshore RMB China Corporate High Yield Index 135.09 +.02%
  • 2-Year Swap Spread 35.25 -.5 basis point
  • TED Spread 54.75 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -26.25 +.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 71.41 -.24%
  • 3-Month T-Bill Yield .52% +2.0 basis point4
  • Yield Curve 116.0 -2.0 basis points
  • China Import Iron Ore Spot $91.27/Metric Tonne -1.15%
  • Citi US Economic Surprise Index 34.70 -2.4 points
  • Citi Eurozone Economic Surprise Index 71.10 -1.2 points
  • Citi Emerging Markets Economic Surprise Index 46.60 +3.7 points
  • 10-Year TIPS Spread 2.02 -1.0 basis point
  • 66.9% chance of Fed rate hike at May 3 meeting, 79.9% chance at June 14 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +11 open in Japan 
  • China A50 Futures: Indicating +30 open in China
  • DAX Futures: Indicating -1 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my in my retail/tech sector longs
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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