Wednesday, July 11, 2018

Stocks Lower into Final Hour on Trade War Fears, Oil Decline, Emerging Markets Debt Angst, Commodity/Transport 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) 13.74 +8.6%
  • Euro/Yen Carry Return Index 136.14 +.29%
  • Emerging Markets Currency Volatility(VXY) 10.0 +4.3%
  • S&P 500 Implied Correlation 33.14 +1.4%
  • ISE Sentiment Index 90.0 -15.9%
  • Total Put/Call 1.0 +1.0%
  • NYSE Arms 1.72 +135.9%
Credit Investor Angst:
  • North American Investment Grade CDS Index 62.95 +.99%
  • America Energy Sector High-Yield CDS Index 386.0 +.85%
  • European Financial Sector CDS Index 81.69 +2.09%
  • Italian/German 10Y Yld Spread 232.25 -3.0 basis points
  • Asia Pacific Sovereign Debt CDS Index 14.79 +2.64%
  • Emerging Market CDS Index 179.44 +4.83%
  • iBoxx Offshore RMB China Corporate High Yield Index 148.13 -.09%
  • 2-Year Swap Spread 23.5 -.75 basis point
  • TED Spread 36.75 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -2.25 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.51 -.86%
  • 3-Month T-Bill Yield 1.96% -1.0 basis point
  • Yield Curve 27.0 -1.25 basis points
  • China Iron Ore Spot 63.35 USD/Metric Tonne +.16%
  • Citi US Economic Surprise Index 13.90 unch.
  • Citi Eurozone Economic Surprise Index -36.20 +.5 point
  • Citi Emerging Markets Economic Surprise Index .3 +2.0 points
  • 10-Year TIPS Spread 2.12 -1.0 basis point
  • 86.2% chance of Fed rate hike at Sept. 26th meeting, 86.6% chance at November 8th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +93 open in Japan 
  • China A50 Futures: Indicating -109 open in China
  • DAX Futures: Indicating -15 open in Germany
Portfolio: 
  • Lower: On losses in my industrial/retail/tech sector longs
  • Disclosed Trades:Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
  • Market Exposure: Moved to 75% Net Long

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