Wednesday, January 10, 2018

Stocks Modestly Lower into Final Hour on Profit-Taking, Yen Strength, Technical Selling, REIT/Utility Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Mixed
  • Volume: Above Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 9.98 -.99%
  • Euro/Yen Carry Return Index 138.78 -.96%
  • Emerging Markets Currency Volatility(VXY) 7.56 +.27%
  • S&P 500 Implied Correlation 33.53 -4.0%
  • ISE Sentiment Index 96.0 -9.4%
  • Total Put/Call .63 -21.3%
  • NYSE Arms .52 -39.5%
Credit Investor Angst:
  • North American Investment Grade CDS Index 46.41 +.42%
  • America Energy Sector High-Yield CDS Index 339.0 -.70%
  • European Financial Sector CDS Index 44.0 +1.44%
  • Italian/German 10Y Yld Spread 149.50 -7.5 basis points
  • Asia Pacific Sovereign Debt CDS Index 10.4 +6.72%
  • Emerging Market CDS Index 113.76 +2.01%
  • iBoxx Offshore RMB China Corporate High Yield Index 146.57 +.02%
  • 2-Year Swap Spread 19.50 unch.
  • TED Spread 27.25 -1.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -25.0 -.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 74.76 -.03%
  • 3-Month T-Bill Yield 1.42% -1.0 basis point
  • Yield Curve 57.75 -.5 basis point
  • China Iron Ore Spot 520.0 CNY/100 Metric Tonnes unch.
  • Citi US Economic Surprise Index 66.50 -.5 point
  • Citi Eurozone Economic Surprise Index 58.30 -.5 basis point
  • Citi Emerging Markets Economic Surprise Index 0.0 unch.
  • 10-Year TIPS Spread 2.04 unch.
  • 80.3% chance of Fed rate hike at March 21 meeting, 80.7% chance at May 2 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -163 open in Japan 
  • China A50 Futures: Indicating -9 open in China
  • DAX Futures: Indicating -33 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my medical/biotech/retail sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

No comments: