Monday, March 27, 2017

Stocks Slightly Lower into Final Hour on Less Economic Optimism, Commodity Declines, Yen Strength, Financial/Energy Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: About Even
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.80 +1.7%
  • Euro/Yen Carry Return Index 125.46 -.02%
  • Emerging Markets Currency Volatility(VXY) 9.20 +.99%
  • S&P 500 Implied Correlation 47.17 -1.11%
  • ISE Sentiment Index 83.0 -17.82%
  • Total Put/Call 1.12 -7.44%
  • NYSE Arms .98 -15.4%
Credit Investor Angst:
  • North American Investment Grade CDS Index 67.80 -.08%
  • America Energy Sector High-Yield CDS Index 401.0 -1.77%
  • European Financial Sector CDS Index 88.25 -.85%
  • Western Europe Sovereign Debt CDS Index 11.72 -4.75%
  • Asia Pacific Sovereign Debt CDS Index 21.38 +1.66%
  • Emerging Market CDS Index 213.59 +.75%
  • iBoxx Offshore RMB China Corporate High Yield Index 136.34 +.09%
  • 2-Year Swap Spread 35.0 -2.0 basis points
  • TED Spread 39.0 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -20.75 +3.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.42 -.13%
  • 3-Month T-Bill Yield .77% +1.0 basis point
  • Yield Curve 112.0 -3.0 basis points
  • China Import Iron Ore Spot $81.57/Metric Tonne -4.1%
  • Citi US Economic Surprise Index 52.5 -1.6 points
  • Citi Eurozone Economic Surprise Index 67.70 -2.1 points
  • Citi Emerging Markets Economic Surprise Index 42.80 -2.2 points
  • 10-Year TIPS Spread 1.97 -1.0 basis point
  • 50.2% chance of Fed rate hike at June 14 meeting, 56.3% chance at July 26 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +55 open in Japan 
  • China A50 Futures: Indicating +33 open in China
  • DAX Futures: Indicating +46 open in Germany
Portfolio: 
  • Higher: On gains in my medical/tech/biotech/retail sector longs  and index hedges
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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