Friday, February 02, 2018

Stocks Falling Substantially into Final Hour on Rising Long-Term Rates, Earnings Worries, Technical Selling, Energy/Homebuilding Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Every Sector Declining
  • Volume: Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 16.12 +19.7%
  • Euro/Yen Carry Return Index 143.16 +.43%
  • Emerging Markets Currency Volatility(VXY) 8.56 +3.13%
  • S&P 500 Implied Correlation 37.69 +13.3%
  • ISE Sentiment Index 77.0 -22.22%
  • Total Put/Call .78 -13.3%
  • NYSE Arms 1.02 +39.1%
Credit Investor Angst:
  • North American Investment Grade CDS Index 49.67 +3.82%
  • America Energy Sector High-Yield CDS Index 357.0 +15.1%
  • European Financial Sector CDS Index 44.09 +4.38%
  • Italian/German 10Y Yld Spread 128.75 +3.75 basis points
  • Asia Pacific Sovereign Debt CDS Index 11.77 +3.2%
  • Emerging Market CDS Index 118.50 +3.69%
  • iBoxx Offshore RMB China Corporate High Yield Index 147.19 +.31%
  • 2-Year Swap Spread 22.0 +2.75 basis points
  • TED Spread 30.75 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -30.0 +1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 75.99 -.7%
  • 3-Month T-Bill Yield 1.48% -1.0 basis point
  • Yield Curve 69.50 +7.5 basis points
  • China Iron Ore Spot 74.03 USD/Metric Tonne +1.59%
  • Citi US Economic Surprise Index 44.50 +3.7 points
  • Citi Eurozone Economic Surprise Index 34.10 -.7 basis point
  • Citi Emerging Markets Economic Surprise Index 1.0 +1.0 basis points
  • 10-Year TIPS Spread 2.14 +2.0 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 -164 open in Japan 
  • China A50 Futures: Indicating -132 open in China
  • DAX Futures: Indicating -19 open in Germany
Portfolio: 
  • Lower: On losses in my medical/retail/tech sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
  • Market Exposure: Moved to 50% Net Long

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