Monday, April 23, 2018

Stocks Slightly Lower into Final Hour on Rising Long-Term Rates, European/Emerging Markets/US High-Yield Debt Angst, Technical Selling, Tech/Metals & Mining 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) 17.1 +1.4%
  • Euro/Yen Carry Return Index 138.08 +.25%
  • Emerging Markets Currency Volatility(VXY) 8.40 +2.82%
  • S&P 500 Implied Correlation 40.45 +2.4%
  • ISE Sentiment Index 77.0 -9.4%
  • Total Put/Call .95 -3.1%
  • NYSE Arms 1.0 -4.57%
Credit Investor Angst:
  • North American Investment Grade CDS Index 61.77 +2.05%
  • America Energy Sector High-Yield CDS Index 422.0 +2.18%
  • European Financial Sector CDS Index 56.90 -.23%
  • Italian/German 10Y Yld Spread 115.75 -3.0 basis points
  • Asia Pacific Sovereign Debt CDS Index 12.22 +2.26%
  • Emerging Market CDS Index 140.40 -.17%
  • iBoxx Offshore RMB China Corporate High Yield Index 149.31 +.12%
  • 2-Year Swap Spread 27.25 -1.25 basis points
  • TED Spread 55.25 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -11.0 -3.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 73.65 -.92%
  • 3-Month T-Bill Yield 1.82% +2.0 basis points
  • Yield Curve 50.0 +.25 basis point
  • China Iron Ore Spot 68.05 USD/Metric Tonne +.07%
  • Citi US Economic Surprise Index 33.10 +3.9 points
  • Citi Eurozone Economic Surprise Index -83.30 +7.6 points
  • Citi Emerging Markets Economic Surprise Index 8.3 +2.2 points
  • 10-Year TIPS Spread 2.19 +1.0 basis point
  • 91.8% chance of Fed rate hike at June 13 meeting, 92.3% chance at August 1 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +93  open in Japan 
  • China A50 Futures: Indicating -25 open in China
  • DAX Futures: Indicating +1 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my tech/industrial sector longs
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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