Wednesday, August 15, 2018

Stocks Falling into Final Hour on Trade War Fears, Rising European/Emerging Markets/US High-Yield Debt Angst, Oil Decline, Commodity/Gaming Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 16.12 +21.2%
  • Euro/Yen Carry Return Index 130.53 -.47%
  • Emerging Markets Currency Volatility(VXY) 12.74 +4.9%
  • S&P 500 Implied Correlation 35.65 +11.9%
  • ISE Sentiment Index 115.0 -9.45%
  • Total Put/Call 1.15 +25.0%
  • NYSE Arms 1.86 +118.4%
Credit Investor Angst:
  • North American Investment Grade CDS Index 62.64 +2.0%
  • America Energy Sector High-Yield CDS Index 398.0 +3.12%
  • European Financial Sector CDS Index 89.12 +4.22%
  • Italian/German 10Y Yld Spread 286.5 +16.25 basis points
  • Asia Pacific Sovereign Debt CDS Index 10.55 -.75%
  • Emerging Market CDS Index 213.22 +3.96%
  • iBoxx Offshore RMB China Corporate High Yield Index 150.89 -.07%
  • 2-Year Swap Spread 19.0 -.75 basis point
  • TED Spread 25.0 -1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -10.0 +1.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 66.42 +.17%
  • 3-Month T-Bill Yield 2.06% -1.0 basis point
  • Yield Curve 25.0 -1.25 basis points
  • China Iron Ore Spot 66.69 USD/Metric Tonne -.67%
  • Citi US Economic Surprise Index -6.20 +4.2 points
  • Citi Eurozone Economic Surprise Index -18.60 +.9 point
  • Citi Emerging Markets Economic Surprise Index -7.30 -.7 point
  • 10-Year TIPS Spread 2.09 -1.0 basis point
  • 92.3% chance of Fed rate hike at Nov. 8th meeting, 97.9% chance at Dec. 19th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -189 open in Japan 
  • China A50 Futures: Indicating -110 open in China
  • DAX Futures: Indicating +13 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my tech/biotech/medical/retail sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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