Tuesday, May 01, 2018

Stocks Slightly Lower into Final Hour on Earnings Outlooks, Oil Decline, Emerging Markets Debt Angst, Telecom/Energy Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: About Even
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 15.9 +.06%
  • Euro/Yen Carry Return Index 137.12 -.28%
  • Emerging Markets Currency Volatility(VXY) 8.45 +1.3%
  • S&P 500 Implied Correlation 42.4 +5.8%
  • ISE Sentiment Index 93.0 +12.1%
  • Total Put/Call 1.10 +22.2%
  • NYSE Arms 1.47 +.88%
Credit Investor Angst:
  • North American Investment Grade CDS Index 61.05 +.80%
  • America Energy Sector High-Yield CDS Index 401.0 +.4%
  • European Financial Sector CDS Index 58.73 +3.0%
  • Italian/German 10Y Yld Spread 122.50 unch.
  • Asia Pacific Sovereign Debt CDS Index 12.25 +1.74%
  • Emerging Market CDS Index 145.06 +1.52%
  • iBoxx Offshore RMB China Corporate High Yield Index 149.30 -.06%
  • 2-Year Swap Spread 25.25 -.5 basis point
  • TED Spread 53.0 -2.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -11.75 -1.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.86 -.58%
  • 3-Month T-Bill Yield 1.83% +3.0 basis points
  • Yield Curve 46.5 +1.0 basis point
  • China Iron Ore Spot 65.78 USD/Metric Tonne unch.
  • Citi US Economic Surprise Index 36.5 -5.3 points
  • Citi Eurozone Economic Surprise Index -77.30 +.2 point
  • Citi Emerging Markets Economic Surprise Index .4 -2.8 points
  • 10-Year TIPS Spread 2.16 -2.0 basis points
  • 94.6% chance of Fed rate hike at June 13 meeting, 94.8% chance at August 1 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +47  open in Japan 
  • China A50 Futures: Indicating +62 open in China
  • DAX Futures: Indicating -1 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech sector longs and emerging markets shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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