Wednesday, October 25, 2017

Stocks Lower into Final Hour on Rate-Hike Worries, Earnings Outlooks, Profit-Taking, Alt Energy/Transport Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Heavy
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.13 +8.69%
  • Euro/Yen Carry Return Index 139.99 +.32%
  • Emerging Markets Currency Volatility(VXY) 8.03 -2.07%
  • S&P 500 Implied Correlation 22.31 +58.3%
  • ISE Sentiment Index 67.0 -33.7%
  • Total Put/Call 1.17 +50.0%
  • NYSE Arms 1.26 +43.7%
Credit Investor Angst:
  • North American Investment Grade CDS Index 53.94 +1.76%
  • America Energy Sector High-Yield CDS Index 390.0 +.87%
  • European Financial Sector CDS Index 57.47 -.24%
  • Western Europe Sovereign Debt CDS Index 4.55 -3.30%
  • Asia Pacific Sovereign Debt CDS Index 15.85 +2.79%
  • Emerging Market CDS Index 177.30 +1.23%
  • iBoxx Offshore RMB China Corporate High Yield Index 144.58 -.06%
  • 2-Year Swap Spread 22.5 -1.25 basis points
  • TED Spread 25.5 -.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -40.0 +.75 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 73.0 -.14%
  • 3-Month T-Bill Yield 1.11% unch.
  • Yield Curve 84.0 +1.0 basis point
  • China Import Iron Ore Spot $62.24/Metric Tonne -.29%
  • Citi US Economic Surprise Index 30.50 +23.5 points
  • Citi Eurozone Economic Surprise Index 56.90 +5.1 basis points
  • Citi Emerging Markets Economic Surprise Index 16.90 -.1 basis point
  • 10-Year TIPS Spread 1.88 unch.
  • 84.2% chance of Fed rate hike at Dec. 13 meeting, 85.1% chance at Jan. 31 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +33 open in Japan 
  • China A50 Futures: Indicating -6 open in China
  • DAX Futures: Indicating +5 open in Germany
Portfolio: 
  • Lower: On losses in my tech/retail/biotech sector longs
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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