Tuesday, March 13, 2018

Stocks Reversing Lower into Final Hour on Trade War Fears, Oil Decline, Profit-Taking, Tech/Gaming Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 16.0 +1.5%
  • Euro/Yen Carry Return Index 137.64 +.66%
  • Emerging Markets Currency Volatility(VXY) 7.67 -.78%
  • S&P 500 Implied Correlation 40.25 -.94%
  • ISE Sentiment Index 80.0 -13.04%
  • Total Put/Call .87 +2.35%
  • NYSE Arms 1.35 +54.3%
Credit Investor Angst:
  • North American Investment Grade CDS Index 54.12 +.4%
  • America Energy Sector High-Yield CDS Index 396.0 -.15%
  • European Financial Sector CDS Index 49.59 +.75%
  • Italian/German 10Y Yld Spread 137.50 +.5 basis point
  • Asia Pacific Sovereign Debt CDS Index 10.94 -.5%
  • Emerging Market CDS Index 115.18 +1.41%
  • iBoxx Offshore RMB China Corporate High Yield Index 148.21 +.02%
  • 2-Year Swap Spread 32.50 +1.0 basis point
  • TED Spread 39.50 -2.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -29.5 -2.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 75.43 +.04%
  • 3-Month T-Bill Yield 1.71% +4.0 basis points
  • Yield Curve 58.5 -2.0 basis points
  • China Iron Ore Spot 68.89 USD/Metric Tonne +.69%
  • Citi US Economic Surprise Index 43.80 -1.8 points
  • Citi Eurozone Economic Surprise Index -27.40 -1.6 points
  • Citi Emerging Markets Economic Surprise Index 32.30 -1.6 points
  • 10-Year TIPS Spread 2.09 -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 -323 open in Japan 
  • China A50 Futures: Indicating -87 open in China
  • DAX Futures: Indicating -69 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my biotech/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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