Monday, August 21, 2017

Stocks Slightly Lower into Final Hour on Yen Strength, Oil Decline, Technical Selling, Retail/Energy 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) 13.63 -4.4%
  • Euro/Yen Carry Return Index 134.07 +.09%
  • Emerging Markets Currency Volatility(VXY) 7.28 -.95%
  • S&P 500 Implied Correlation 41.54 -2.78%
  • ISE Sentiment Index 97.0 +32.88%
  • Total Put/Call 1.01 -8.18%
  • NYSE Arms 1.25 -.05%
Credit Investor Angst:
  • North American Investment Grade CDS Index 62.34 -.19%
  • America Energy Sector High-Yield CDS Index 459.0 +.21%
  • European Financial Sector CDS Index 55.77 -.30%
  • Western Europe Sovereign Debt CDS Index 5.61 +.63%
  • Asia Pacific Sovereign Debt CDS Index 21.46 +.02%
  • Emerging Market CDS Index 191.54 +.50%
  • iBoxx Offshore RMB China Corporate High Yield Index 141.28 +.09%
  • 2-Year Swap Spread 26.0 -.5 basis point
  • TED Spread 31.5 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -26.50 +.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 73.91 +.15%
  • 3-Month T-Bill Yield .98% -2.0 basis points
  • Yield Curve 88.0 -1.0 basis point
  • China Import Iron Ore Spot $79.93/Metric Tonne +2.55%
  • Citi US Economic Surprise Index -27.60 +1.8 points
  • Citi Eurozone Economic Surprise Index 8.60 -1.3 points
  • Citi Emerging Markets Economic Surprise Index 19.50 +1.2 basis points
  • 10-Year TIPS Spread 1.76 -1.0 basis point
  • 15.6% chance of Fed rate hike at Nov. 1 meeting, 39.1% chance at Dec. 13 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -95 open in Japan 
  • China A50 Futures: Indicating +23 open in China
  • DAX Futures: Indicating -19 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my tech/retail sector longs 
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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