Monday, October 09, 2017

Stocks Finish Slightly Lower on Geopolitical Concerns, Profit-Taking, Technical Selling, Medical/Retail 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) 10.45 +8.3%
  • Euro/Yen Carry Return Index 137.93 +.06%
  • Emerging Markets Currency Volatility(VXY) 7.96 +2.45%
  • S&P 500 Implied Correlation 18.77 +9.06%
  • ISE Sentiment Index 67.0 -22.99%
  • Total Put/Call .99 +16.5
  • NYSE Arms 1.26 +31.2%
Credit Investor Angst:
  • North American Investment Grade CDS Index 54.28 +.51%
  • America Energy Sector High-Yield CDS Index 398.0 -.39%
  • European Financial Sector CDS Index 60.14 -.69%
  • Western Europe Sovereign Debt CDS Index 5.18 -4.52%
  • Asia Pacific Sovereign Debt CDS Index 16.52 +.55%
  • Emerging Market CDS Index 178.69 -.04%
  • iBoxx Offshore RMB China Corporate High Yield Index 142.18 +.22%
  • 2-Year Swap Spread 27.5 unch.
  • TED Spread 28.75 +.75 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -39.5 +.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 73.18 -.14%
  • 3-Month T-Bill Yield 1.06% unch.
  • Yield Curve 85.50 -.5 basis point
  • China Import Iron Ore Spot $62.67/Metric Tonne +.69%
  • Citi US Economic Surprise Index 6.50 +3.1 points
  • Citi Eurozone Economic Surprise Index 49.90 +4.1 points
  • Citi Emerging Markets Economic Surprise Index 17.40 -.5 basis point
  • 10-Year TIPS Spread 1.87 -1.0 basis point
  • 80.8% chance of Fed rate hike at Dec. 13 meeting, 81.5% chance at Jan. 31 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +20 open in Japan 
  • China A50 Futures: Indicating +81 open in China
  • DAX Futures: Indicating +20 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my retail/medical sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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