Tuesday, June 19, 2018

Stocks Lower into Afternoon on Trade War Worries, Emerging Markets Debt Angst, Oil Decline, Gaming/Transport Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 14.07 +14.3%
  • Euro/Yen Carry Return Index 132.53 -.93%
  • Emerging Markets Currency Volatility(VXY) 10.11 +2.22%
  • S&P 500 Implied Correlation 36.71 +7.1%
  • ISE Sentiment Index 82.0 +30.2%
  • Total Put/Call .87 -14.71%
  • NYSE Arms .92 +10.21%
Credit Investor Angst:
  • North American Investment Grade CDS Index 62.66 +3.1%
  • America Energy Sector High-Yield CDS Index 396.0 +1.22%
  • European Financial Sector CDS Index 79.33 +.90%
  • Italian/German 10Y Yld Spread 218.5 +3.0 basis points
  • Asia Pacific Sovereign Debt CDS Index 13.88 +4.44%
  • Emerging Market CDS Index 196.03 +1.35%
  • iBoxx Offshore RMB China Corporate High Yield Index 149.94 -.01%
  • 2-Year Swap Spread 25.75 -1.0 basis point
  • TED Spread 40.0 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -5.5 +3.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.64 -.23%
  • 3-Month T-Bill Yield 1.93% +1.0 basis point
  • Yield Curve 34.75 -3.0 basis points
  • China Iron Ore Spot 63.98 USD/Metric Tonne +.71%
  • Citi US Economic Surprise Index 11.20 -1.0 point
  • Citi Eurozone Economic Surprise Index -86.90 +3.6 points
  • Citi Emerging Markets Economic Surprise Index -20.0 +1.9 points
  • 10-Year TIPS Spread 2.12 -1.0 basis point
  • 81.2% chance of Fed rate hike at Sept. 26th meeting, 82.2% chance at November 8th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -33 open in Japan 
  • China A50 Futures: Indicating -64 open in China
  • DAX Futures: Indicating +21 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my tech/industrial sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

No comments: