Monday, October 30, 2017

Stocks Lower into Final Hour on Tax Reform Worries, Yen Strength, Profit-Taking, Retail/Healthcare Provider Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 10.4 +6.4%
  • Euro/Yen Carry Return Index 137.29 -.23%
  • Emerging Markets Currency Volatility(VXY) 8.13 -1.22%
  • S&P 500 Implied Correlation 15.8 +4.9%
  • ISE Sentiment Index 101.0 -31.3%
  • Total Put/Call .89 +3.49%
  • NYSE Arms 1.02 -6.5%
Credit Investor Angst:
  • North American Investment Grade CDS Index 53.01 -.04%
  • America Energy Sector High-Yield CDS Index 393.0 -.77%
  • European Financial Sector CDS Index 52.89 -2.02%
  • Western Europe Sovereign Debt CDS Index 4.26 -10.5%
  • Asia Pacific Sovereign Debt CDS Index 15.26 -1.93%
  • Emerging Market CDS Index 174.44 +.19%
  • iBoxx Offshore RMB China Corporate High Yield Index 144.79 +.02%
  • 2-Year Swap Spread 22.5 -.25 basis point
  • TED Spread 28.75 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -41.75 +.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.54 -.04%
  • 3-Month T-Bill Yield 1.10% +1.0 basis point
  • Yield Curve 79.0 -4.0 basis points
  • China Import Iron Ore Spot $58.75/Metric Tonne -2.21%
  • Citi US Economic Surprise Index 40.50 +2.3 points
  • Citi Eurozone Economic Surprise Index 66.40 +6.9 basis points
  • Citi Emerging Markets Economic Surprise Index 20.70 -.6 point
  • 10-Year TIPS Spread 1.88 -2.0 basis points
  • 84.9% chance of Fed rate hike at Dec. 13 meeting, 85.5% chance at Jan. 31 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -89 open in Japan 
  • China A50 Futures: Indicating -29 open in China
  • DAX Futures: Indicating -8 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech/biotech sector longs and emerging markets shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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