Monday, June 05, 2017

Stocks Slightly Lower into Final Hour on Terrorism Fears, Oil Decline, Profit-Taking, Defense/Hospital Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Light
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 9.68 -.72%
  • Euro/Yen Carry Return Index 129.77 -.22%
  • Emerging Markets Currency Volatility(VXY) 8.03 -1.95%
  • S&P 500 Implied Correlation 38.81 +5.92%
  • ISE Sentiment Index 64.0 -33.33%
  • Total Put/Call .71 -11.25%
  • NYSE Arms .79 -51.91%
Credit Investor Angst:
  • North American Investment Grade CDS Index 59.95 -.15%
  • America Energy Sector High-Yield CDS Index 382.0 +2.18%
  • European Financial Sector CDS Index 71.0 +1.23%
  • Western Europe Sovereign Debt CDS Index 8.29 +2.16%
  • Asia Pacific Sovereign Debt CDS Index 18.01 -.39%
  • Emerging Market CDS Index 190.16 -.84%
  • iBoxx Offshore RMB China Corporate High Yield Index 138.71 +.03%
  • 2-Year Swap Spread 21.5 -1.0 basis point
  • TED Spread 24.75 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -31.75 -.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 73.44 +.12%
  • 3-Month T-Bill Yield .97% unch.
  • Yield Curve 88.0 unch.
  • China Import Iron Ore Spot $55.90/Metric Tonne -3.27%
  • Citi US Economic Surprise Index -44.70 -3.8 points
  • Citi Eurozone Economic Surprise Index 43.50 +.1 point
  • Citi Emerging Markets Economic Surprise Index 11.50 +.8 point
  • 10-Year TIPS Spread 1.82 unch.
  • 94.1% chance of Fed rate hike at July 26 meeting, 95.8% chance at Sept. 20 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -5 open in Japan 
  • China A50 Futures: Indicating +2 open in China
  • DAX Futures: Indicating n/a open in Germany
Portfolio: 
  • Slightly Lower: On losses in my biotech sector longs 
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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