Wednesday, April 19, 2017

Stocks Revering Slightly Lower into Final Hour on Oil Decline, Earnings Concerns, European Election Worries, Commodity/Utility Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 14.60 +1.25%
  • Euro/Yen Carry Return Index 121.75 +.22%
  • Emerging Markets Currency Volatility(VXY) 9.08 -1.2%
  • S&P 500 Implied Correlation 46.68 +1.88%
  • ISE Sentiment Index 84.0 -4.55%
  • Total Put/Call .67 +4.69%
  • NYSE Arms 1.51 +3.01%
Credit Investor Angst:
  • North American Investment Grade CDS Index 68.74 +.21%
  • America Energy Sector High-Yield CDS Index 366.0 +1.07%
  • European Financial Sector CDS Index 91.85 -2.65%
  • Western Europe Sovereign Debt CDS Index 11.86 -13.53%
  • Asia Pacific Sovereign Debt CDS Index 24.67 +1.98%
  • Emerging Market CDS Index 211.56 -.53%
  • iBoxx Offshore RMB China Corporate High Yield Index 136.91 +.05%
  • 2-Year Swap Spread 32.25 +.25 basis point
  • TED Spread 34.50 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -29.0 -1.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.34 +.06%
  • 3-Month T-Bill Yield .80% unch.
  • Yield Curve 103.0 +3.0 basis points
  • China Import Iron Ore Spot $64.60/Metric Tonne +2.22%
  • Citi US Economic Surprise Index 6.40 -.2 point
  • Citi Eurozone Economic Surprise Index 38.30 -.2 point
  • Citi Emerging Markets Economic Surprise Index 39.1 -.6 point
  • 10-Year TIPS Spread 1.86 +1.0 basis point
  • 47.0% chance of Fed rate hike at June 14 meeting, 51.1% chance at July 26 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +8 open in Japan 
  • China A50 Futures: Indicating -59 open in China
  • DAX Futures: Indicating -1 open in Germany
Portfolio: 
  • Higher: On gains in my biotech/medical/retail/tech sector longs and emerging markets shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
  • Market Exposure: Moved to 50% Net Long

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