Tuesday, August 08, 2017

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

Broad Equity Market Tone:
  • Advance/Decline Line: Slightly Higher
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 9.99 +.6%
  • Euro/Yen Carry Return Index 135.38 -.64%
  • Emerging Markets Currency Volatility(VXY) 7.46 +.81%
  • S&P 500 Implied Correlation 29.89 -5.68%
  • ISE Sentiment Index n/a
  • Total Put/Call .85 -8.6%
  • NYSE Arms .84 -16.8%
Credit Investor Angst:
  • North American Investment Grade CDS Index 58.40 +1.04%
  • America Energy Sector High-Yield CDS Index 432.0 +.26%
  • European Financial Sector CDS Index 51.70 +1.03%
  • Western Europe Sovereign Debt CDS Index 5.06 -7.84%
  • Asia Pacific Sovereign Debt CDS Index 19.30 -.36%
  • Emerging Market CDS Index 183.95 +.54%
  • iBoxx Offshore RMB China Corporate High Yield Index 140.78 +.06%
  • 2-Year Swap Spread 25.50 +.5 basis point
  • TED Spread 28.0 +3.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -25.25 +.75 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 73.76 -.09%
  • 3-Month T-Bill Yield 1.04% -1.0 basis point
  • Yield Curve 92.0 +1.0 basis point
  • China Import Iron Ore Spot $75.46/Metric Tonne -.93%
  • Citi US Economic Surprise Index -31.40 +7.7 points
  • Citi Eurozone Economic Surprise Index 10.60 -2.7 basis points
  • Citi Emerging Markets Economic Surprise Index 14.50 -2.3 basis points
  • 10-Year TIPS Spread 1.83 +2.0 basis points
  • 21.2% chance of Fed rate hike at Nov. 1 meeting, 49.4% chance at Dec. 13 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -16 open in Japan 
  • China A50 Futures: Indicating +41 open in China
  • DAX Futures: Indicating -19 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech sector longs 
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

No comments: