Thursday, February 08, 2018

Stocks Falling Sharply into Final Hour on Rising US/European/Emerging Markets Debt Angst, Oil Decline, Yen Strength, Tech/Energy Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Every Sector Declining
  • Volume: Heavy
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 32.3 +16.7%
  • Euro/Yen Carry Return Index 139.09 -.44%
  • Emerging Markets Currency Volatility(VXY) 9.40 +6.1%
  • S&P 500 Implied Correlation 49.58 +9.2%
  • ISE Sentiment Index 86.0 -29.5%
  • Total Put/Call 1.05 +15.4%
  • NYSE Arms .95 -35.1%
Credit Investor Angst:
  • North American Investment Grade CDS Index 58.77 +8.81%
  • America Energy Sector High-Yield CDS Index 372.0 +4.97%
  • European Financial Sector CDS Index 49.86 +8.60%
  • Italian/German 10Y Yld Spread 123.25 +2.75 basis points
  • Asia Pacific Sovereign Debt CDS Index 12.75 +5.26%
  • Emerging Market CDS Index 128.79 +7.0%
  • iBoxx Offshore RMB China Corporate High Yield Index 147.36 -.09%
  • 2-Year Swap Spread 23.75 +1.25 basis points
  • TED Spread 25.25 -1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -32.75 -3.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 74.86 -.54%
  • 3-Month T-Bill Yield 1.54% unch.
  • Yield Curve 72.0 +.25 basis point
  • China Iron Ore Spot 75.72 USD/Metric Tonne +.89%
  • Citi US Economic Surprise Index 48.30 +.8 point
  • Citi Eurozone Economic Surprise Index 39.70 -2.0 basis points
  • Citi Emerging Markets Economic Surprise Index .2 +1.2 basis points
  • 10-Year TIPS Spread 2.09 -3.0 basis points
  • 100.0% chance of Fed rate hike at May 2 meeting, 100.0% chance at June 13 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -575 open in Japan 
  • China A50 Futures: Indicating -260 open in China
  • DAX Futures: Indicating -63 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my index hedges and emerging markets shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
  • Market Exposure: Moved to 25% Net Long

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