Thursday, February 16, 2017

Stocks Slightly Lower into Final Hour on Border Tax Speculation, Profit-Taking, Yen Strength, Energy/Retail Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 12.09 +1.0%
  • Euro/Yen Carry Return Index 126.08 -.23%
  • Emerging Markets Currency Volatility(VXY) 9.73 -.82%
  • S&P 500 Implied Correlation 45.19 +4.97%
  • ISE Sentiment Index 100.0 +17.7%
  • Total Put/Call .86 +3.61%
  • NYSE Arms 1.33 +53.31%
Credit Investor Angst:
  • North American Investment Grade CDS Index 63.86 +1.33%
  • America Energy Sector High-Yield CDS Index 373.0 -.25%
  • European Financial Sector CDS Index 91.55 +1.76%
  • Western Europe Sovereign Debt CDS Index 22.65 -5.66%
  • Asia Pacific Sovereign Debt CDS Index 27.04 -.04%
  • Emerging Market CDS Index 220.16 +2.23%
  • iBoxx Offshore RMB China Corporate High Yield Index 134.50 +.05%
  • 2-Year Swap Spread 35.75 +2.5 basis points
  • TED Spread 51.50 +1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -25.0 +2.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 71.59 -.03%
  • 3-Month T-Bill Yield .52% -1.0 basis point
  • Yield Curve 124.0 -1.0 basis point
  • China Import Iron Ore Spot $90.06/Metric Tonne -1.09%
  • Citi US Economic Surprise Index 53.60 +9.0 points
  • Citi Eurozone Economic Surprise Index 42.40 -.8 point
  • Citi Emerging Markets Economic Surprise Index 40.60 +.8 point
  • 10-Year TIPS Spread 2.03 -2.0 basis points
  • 57.3% chance of Fed rate hike at May 3 meeting, 77.1% chance at June 14 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -122 open in Japan 
  • China A50 Futures: Indicating +34 open in China
  • DAX Futures: Indicating +3 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my in my biotech/retail sector longs 
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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