Thursday, March 22, 2018

Stocks Falling Substantially into Final Hour on Trade War Fears, Mueller Probe Worries, US/European/Emerging Markets Debt Angst, Financial/Commodity Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 20.3 +13.9%
  • Euro/Yen Carry Return Index 135.40 -.67%
  • Emerging Markets Currency Volatility(VXY) 7.85 +.90%
  • S&P 500 Implied Correlation 43.96 +1.31%
  • ISE Sentiment Index 100.0 +13.64%
  • Total Put/Call 1.26 +8.6%
  • NYSE Arms 1.76 +93.9%
Credit Investor Angst:
  • North American Investment Grade CDS Index 64.18 +3.77%
  • America Energy Sector High-Yield CDS Index 430.0 +.96%
  • European Financial Sector CDS Index 65.57 +3.69%
  • Italian/German 10Y Yld Spread 134.0 +2.75 basis points
  • Asia Pacific Sovereign Debt CDS Index 13.02 +1.24%
  • Emerging Market CDS Index 142.28 +2.43%
  • iBoxx Offshore RMB China Corporate High Yield Index 148.55 -.03%
  • 2-Year Swap Spread 32.0 -.75 basis point
  • TED Spread 54.75 +8.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -9.25 -3.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 75.06 -.25%
  • 3-Month T-Bill Yield 1.71% -3.0 basis points
  • Yield Curve 54.5 -3.75 basis points
  • China Iron Ore Spot 65.27 USD/Metric Tonne -2.84%
  • Citi US Economic Surprise Index 39.4 unch.
  • Citi Eurozone Economic Surprise Index -57.90 -19.3 points
  • Citi Emerging Markets Economic Surprise Index 37.20 -.4 point
  • 10-Year TIPS Spread 2.08 -2.0 basis points
  • 79.0% chance of Fed rate hike at June 13 meeting, 79.9% chance at August 1 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -471 open in Japan 
  • China A50 Futures: Indicating -178 open in China
  • DAX Futures: Indicating -14 open in Germany
Portfolio: 
  • Lower: On losses in my industrial/retail/biotech/tech/medical sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging markets shorts
  • Market Exposure: Moved to 25% Net Long

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