Tuesday, March 14, 2017

Stocks Falling into Final Hour on Less Economic Optimism, European/Emerging Markets/US High-Yield Debt Angst, Oil Decline, Energy/Transport Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Substantially Lower
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 12.26 +8.02%
  • Euro/Yen Carry Return Index 127.07 -.56%
  • Emerging Markets Currency Volatility(VXY) 9.34 -.11%
  • S&P 500 Implied Correlation 45.86 -2.11%
  • ISE Sentiment Index 74.0 -1.0%
  • Total Put/Call .92 unch.
  • NYSE Arms 1.58 +57.3%
Credit Investor Angst:
  • North American Investment Grade CDS Index 65.94 +1.95%
  • America Energy Sector High-Yield CDS Index 395.0 +2.55%
  • European Financial Sector CDS Index 89.07 +2.41%
  • Western Europe Sovereign Debt CDS Index 14.50 -.14%
  • Asia Pacific Sovereign Debt CDS Index 27.57 -.68%
  • Emerging Market CDS Index 220.34 +1.61%
  • iBoxx Offshore RMB China Corporate High Yield Index 135.94 +.11%
  • 2-Year Swap Spread 33.0 -.25 basis point
  • TED Spread 36.5 -1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -25.75 -4.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 70.80 -.19%
  • 3-Month T-Bill Yield .76% +2.0 basis points
  • Yield Curve 122.0 -1.0 basis point
  • China Import Iron Ore Spot $88.14/Metric Tonne -.14%
  • Citi US Economic Surprise Index 46.40 -1.1 points
  • Citi Eurozone Economic Surprise Index 48.90 -2.5 points
  • Citi Emerging Markets Economic Surprise Index 54.50 +5.9 points
  • 10-Year TIPS Spread 1.99 -3.0 basis points
  • 100.0% chance of Fed rate hike at May 3 meeting, 100.0% chance at June 14 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -109 open in Japan 
  • China A50 Futures: Indicating -30 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: 50% Net Long

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