Thursday, August 24, 2017

Stocks Slightly Lower into Final Hour on Less Economic Optimism, Rate-Hike Worries, Oil Decline, Food/Airline Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 12.37 +.98%
  • Euro/Yen Carry Return Index 134.70 +.32%
  • Emerging Markets Currency Volatility(VXY) 7.16 -.83%
  • S&P 500 Implied Correlation 36.91 +21.1%
  • ISE Sentiment Index 83.0 +10.7%
  • Total Put/Call 1.10 +19.6%
  • NYSE Arms .78 -3.47%
Credit Investor Angst:
  • North American Investment Grade CDS Index 60.62 -.70%
  • America Energy Sector High-Yield CDS Index 480.0 +.57%
  • European Financial Sector CDS Index 55.98 -1.39%
  • Western Europe Sovereign Debt CDS Index 5.80 +.70%
  • Asia Pacific Sovereign Debt CDS Index 20.99 -.40%
  • Emerging Market CDS Index 187.47 -1.04%
  • iBoxx Offshore RMB China Corporate High Yield Index 141.05 -.02%
  • 2-Year Swap Spread 24.0 -.75 basis point
  • TED Spread 31.75 +.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -26.75 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 74.08 +.07%
  • 3-Month T-Bill Yield 1.01% +1.0 basis point
  • Yield Curve 85.0 -1.0 basis point
  • China Import Iron Ore Spot $77.16/Metric Tonne -.85%
  • Citi US Economic Surprise Index -36.20 +1.0 point
  • Citi Eurozone Economic Surprise Index 19.0 +11.9 points
  • Citi Emerging Markets Economic Surprise Index 17.0 -.6 basis point
  • 10-Year TIPS Spread 1.76 unch.
  • 17.6% chance of Fed rate hike at Nov. 1 meeting, 42.2% chance at Dec. 13 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +33 open in Japan 
  • China A50 Futures: Indicating +15 open in China
  • DAX Futures: Indicating +5 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my biotech/retail/tech sector longs 
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

No comments: