Wednesday, March 14, 2018

Stocks Reversnig Lower into Final Hour on Trade War Fears, Mid-Term Election Worries, Less Economic Optimism, Transport/Financial Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 17.19 +5.0%
  • Euro/Yen Carry Return Index 136.93 -.44%
  • Emerging Markets Currency Volatility(VXY) 7.79 +.39%
  • S&P 500 Implied Correlation 41.48 +3.6%
  • ISE Sentiment Index 86.0 +24.6%
  • Total Put/Call 1.04 +19.5%
  • NYSE Arms 1.06 -24.21%
Credit Investor Angst:
  • North American Investment Grade CDS Index 54.96 +1.36%
  • America Energy Sector High-Yield CDS Index 398.0 +.17%
  • European Financial Sector CDS Index 52.32 +5.51%
  • Italian/German 10Y Yld Spread 142.25 +4.75 basis points
  • Asia Pacific Sovereign Debt CDS Index 11.20 +2.33%
  • Emerging Market CDS Index 117.0 +1.66%
  • iBoxx Offshore RMB China Corporate High Yield Index 148.23 +.01%
  • 2-Year Swap Spread 31.25 -1.25 basis point
  • TED Spread 36.25 -3.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -31.25 -1.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 75.46 +.05%
  • 3-Month T-Bill Yield 1.75% +4.0 basis points
  • Yield Curve 55.25 -3.25 basis points
  • China Iron Ore Spot 70.0 USD/Metric Tonne -.14%
  • Citi US Economic Surprise Index 39.60 -4.2 points
  • Citi Eurozone Economic Surprise Index -31.50 -4.1 points
  • Citi Emerging Markets Economic Surprise Index 39.10 +6.8 points
  • 10-Year TIPS Spread 2.08 -1.0 basis point
  • 100.0% chance of Fed rate hike at May 2 meeting, 100.0% chance at June 13 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -192 open in Japan 
  • China A50 Futures: Indicating -19 open in China
  • DAX Futures: Indicating +3 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech sector longs and index hedges
  • Disclosed Trades: None
  • Market Exposure: 25% Net Long

No comments: