Wednesday, May 31, 2017

Stocks Modestly Lower into Final Hour on less Economic Optimism, Oil Decline, Yen Strength, Financial/Healthcare Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 11.28 +8.67%
  • Euro/Yen Carry Return Index 129.81 +.31%
  • Emerging Markets Currency Volatility(VXY) 8.31 +2.09%
  • S&P 500 Implied Correlation 41.86 +2.67%
  • ISE Sentiment Index 71.0 +4.41%
  • Total Put/Call 1.0 +8.70%
  • NYSE Arms 1.58 +53.98%
Credit Investor Angst:
  • North American Investment Grade CDS Index 62.21 -.01%
  • America Energy Sector High-Yield CDS Index 372.0 +1.91%
  • European Financial Sector CDS Index 69.68 +1.35%
  • Western Europe Sovereign Debt CDS Index 8.16 -8.78%
  • Asia Pacific Sovereign Debt CDS Index 19.66 +2.05%
  • Emerging Market CDS Index 195.23 +.85%
  • iBoxx Offshore RMB China Corporate High Yield Index 138.56 -.06%
  • 2-Year Swap Spread 23.25 +.25 basis point
  • TED Spread 23.25 -4.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -34.50 +2.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 73.14 +.28%
  • 3-Month T-Bill Yield .97% +5.0 basis points
  • Yield Curve 92.0 -1.0 basis point
  • China Import Iron Ore Spot $57.02/Metric Tonne -2.53%
  • Citi US Economic Surprise Index -38.20 -.7 point
  • Citi Eurozone Economic Surprise Index 40.60 -8.3 points
  • Citi Emerging Markets Economic Surprise Index 7.40 -8.2 points
  • 10-Year TIPS Spread 1.83 -1.0 basis point
  • 92.3% chance of Fed rate hike at July 26 meeting, 94.4% chance at Sept. 20 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +10 open in Japan 
  • China A50 Futures: Indicating -40 open in China
  • DAX Futures: Indicating +13 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my retail/tech sector longs 
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

No comments: