Monday, April 03, 2017

Stocks Slightly Lower into Final Hour on Less Economic Optimism, Oil Decline, Yen Strength, Retail/Financial Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.73 +2.91%
  • Euro/Yen Carry Return Index 123.47 -.39%
  • Emerging Markets Currency Volatility(VXY) 9.04 -.33%
  • S&P 500 Implied Correlation 44.63 +.56%
  • ISE Sentiment Index 54.0 +4.0%
  • Total Put/Call .94 -20.3%
  • NYSE Arms 1.79 +16.89%
Credit Investor Angst:
  • North American Investment Grade CDS Index 66.67 +.13%
  • America Energy Sector High-Yield CDS Index 334.0 -.48%
  • European Financial Sector CDS Index 92.06 +3.86%
  • Western Europe Sovereign Debt CDS Index 12.96 +3.97%
  • Asia Pacific Sovereign Debt CDS Index 21.28 +.47%
  • Emerging Market CDS Index 213.96 +.44%
  • iBoxx Offshore RMB China Corporate High Yield Index 136.55 +.06%
  • 2-Year Swap Spread 35.25 -.75 basis point
  • TED Spread 38.75 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -25.0 +.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.01 -.18%
  • 3-Month T-Bill Yield .76% unch.
  • Yield Curve 111.0 -3.0 basis points
  • China Import Iron Ore Spot $79.36/Metric Tonne -1.18%
  • Citi US Economic Surprise Index 44.50 -3.5 points
  • Citi Eurozone Economic Surprise Index 47.70 -6.4 points
  • Citi Emerging Markets Economic Surprise Index 31.30 -3.1 points
  • 10-Year TIPS Spread 1.97 unch.
  • 56.7% chance of Fed rate hike at June 14 meeting, 61.3% chance at July 26 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +77 open in Japan 
  • China A50 Futures: Indicating +54 open in China
  • DAX Futures: Indicating +55 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my retail sector longs and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

No comments: