Thursday, February 01, 2018

Stocks Sligtly Lower into Final Hour on Rising Long-Term Rates, Profit-Taking, Technical Selling, Utility/REIT Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Slightly Higher
  • Sector Performance: Mixed
  • Volume: Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.93 -4.2%
  • Euro/Yen Carry Return Index 142.59 +.93%
  • Emerging Markets Currency Volatility(VXY) 8.32 +1.59%
  • S&P 500 Implied Correlation 33.84 +1.29%
  • ISE Sentiment Index 113.0 +10.8%
  • Total Put/Call .87 -4.4%
  • NYSE Arms .73 -30.0%
Credit Investor Angst:
  • North American Investment Grade CDS Index 47.55 +.57%
  • America Energy Sector High-Yield CDS Index 307.0 -.49%
  • European Financial Sector CDS Index 42.22 -.32%
  • Italian/German 10Y Yld Spread 124.5 -9.25 basis points
  • Asia Pacific Sovereign Debt CDS Index 11.39 +.04%
  • Emerging Market CDS Index 114.10 -1.36%
  • iBoxx Offshore RMB China Corporate High Yield Index 146.73 +.03%
  • 2-Year Swap Spread 19.25 +.5 basis point
  • TED Spread 31.25 -1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -31.0 -.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 76.53 +.40%
  • 3-Month T-Bill Yield 1.49% +3.0 basis points
  • Yield Curve 62.0 +4.75 basis points
  • China Iron Ore Spot 72.06 USD/Metric Tonne +.63%
  • Citi US Economic Surprise Index 40.80 +2.3 points
  • Citi Eurozone Economic Surprise Index 34.80 -.8 basis point
  • Citi Emerging Markets Economic Surprise Index 0.0 +1.5 basis points
  • 10-Year TIPS Spread 2.12 +1.0 basis point
  • 100.0% chance of Fed rate hike at March 21 meeting, 100.0% chance at May 2 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -89 open in Japan 
  • China A50 Futures: Indicating -59 open in China
  • DAX Futures: Indicating -31 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my medical/retail sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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