Thursday, May 04, 2017

Stocks Slightly Lower into Final Hour on Emerging Markets/US High-Yield Debt Angst, Oil Decline, Earnigs Concerns, Commodity/Telecom Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Mixed
  • Volume: Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 10.41 -2.5%
  • Euro/Yen Carry Return Index 128.82 +.57%
  • Emerging Markets Currency Volatility(VXY) 8.54 +.47%
  • S&P 500 Implied Correlation 42.67 -5.2%
  • ISE Sentiment Index 66.0 -4.35%
  • Total Put/Call .91 -15.7%
  • NYSE Arms .88 -7.48%
Credit Investor Angst:
  • North American Investment Grade CDS Index 63.18 +.37%
  • America Energy Sector High-Yield CDS Index 378.0 +1.71%
  • European Financial Sector CDS Index 87.60 +22.9%
  • Western Europe Sovereign Debt CDS Index 7.83 -5.26%
  • Asia Pacific Sovereign Debt CDS Index 21.27 -2.21%
  • Emerging Market CDS Index 197.90 +3.29%
  • iBoxx Offshore RMB China Corporate High Yield Index 137.16 +.04%
  • 2-Year Swap Spread 29.0 unch.
  • TED Spread 31.0 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -30.25 +2.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.02 -.44%
  • 3-Month T-Bill Yield .87% +1.0 basis point
  • Yield Curve 104.0 +2.0 basis points
  • China Import Iron Ore Spot $68.68/Metric Tonne n/a
  • Citi US Economic Surprise Index -20.10 -.6 point
  • Citi Eurozone Economic Surprise Index 68.80 +3.0 points
  • Citi Emerging Markets Economic Surprise Index 32.4 -.6 point
  • 10-Year TIPS Spread 1.86 -2.0 basis points
  • 90.2% chance of Fed rate hike at July 26 meeting, 94.2% chance at Sept. 20 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +140 open in Japan 
  • China A50 Futures: Indicating -26 open in China
  • DAX Futures: Indicating +3 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my medical/biotech sector longs 
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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