Wednesday, May 02, 2018

Stocks Slightly Lower into Afternoon on Fed Jitters, Emerging Markets Debt Angst, Earnings Outlooks, Insurance/Restaurant Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Mixed
  • Volume: Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 15.1 -2.7%
  • Euro/Yen Carry Return Index 136.85 -.22%
  • Emerging Markets Currency Volatility(VXY) 8.80 +3.77%
  • S&P 500 Implied Correlation 41.51 -1.5%
  • ISE Sentiment Index 83.0 -10.8%
  • Total Put/Call .90 -18.2%
  • NYSE Arms 1.22 -8.9%
Credit Investor Angst:
  • North American Investment Grade CDS Index 60.77 +.03%
  • America Energy Sector High-Yield CDS Index 397.0 -1.04%
  • European Financial Sector CDS Index 58.28 -.76%
  • Italian/German 10Y Yld Spread 121.0 -1.5 basis points
  • Asia Pacific Sovereign Debt CDS Index 11.97 -2.29%
  • Emerging Market CDS Index 148.78 +2.49%
  • iBoxx Offshore RMB China Corporate High Yield Index 149.31 +.01%
  • 2-Year Swap Spread 26.5 +1.25 basis points
  • TED Spread 51.0 -2.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -5.75 +5.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.50 -.52%
  • 3-Month T-Bill Yield 1.83% unch.
  • Yield Curve 46.25 -.25 basis point
  • China Iron Ore Spot 67.34 USD/Metric Tonne +.58%
  • Citi US Economic Surprise Index 35.9 -.6 point
  • Citi Eurozone Economic Surprise Index -78.0 -.7 point
  • Citi Emerging Markets Economic Surprise Index 1.4 +1.0 points
  • 10-Year TIPS Spread 2.17 +1.0 basis point
  • 95.2% chance of Fed rate hike at June 13 meeting, 95.4% chance at August 1 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +47  open in Japan 
  • China A50 Futures: Indicating +8 open in China
  • DAX Futures: Indicating +10 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech/retail sector longs and emerging markets shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

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