Monday, August 13, 2018

Stocks Falling into Final Hour on Emerging Markets Currency Weakness, European/Emering Markets Debt Angst, Oil Decline, Commodity/Homebuilding Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 14.3 +8.6%
  • Euro/Yen Carry Return Index 131.26 -.33%
  • Emerging Markets Currency Volatility(VXY) 12.87 +5.93%
  • S&P 500 Implied Correlation 33.23 +5.4%
  • ISE Sentiment Index 140.0 +53.9%
  • Total Put/Call 1.09 -9.17%
  • NYSE Arms 1.70 +24.6%
Credit Investor Angst:
  • North American Investment Grade CDS Index 62.04 +2.70%
  • America Energy Sector High-Yield CDS Index 379.0 +2.44%
  • European Financial Sector CDS Index 88.55 +2.97%
  • Italian/German 10Y Yld Spread 279.0 +11.25 basis points
  • Asia Pacific Sovereign Debt CDS Index 10.87 +2.74%
  • Emerging Market CDS Index 221.28 +11.43%
  • iBoxx Offshore RMB China Corporate High Yield Index 150.75 -.05%
  • 2-Year Swap Spread 18.75 -.5 basis point
  • TED Spread 27.75 -2.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -11.5 +.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 65.28 -1.04%
  • 3-Month T-Bill Yield 2.03%-1.0 basis point
  • Yield Curve 26.50 +.5 basis point
  • China Iron Ore Spot 69.12 USD/Metric Tonne +.14%
  • Citi US Economic Surprise Index -11.20 +.7 point
  • Citi Eurozone Economic Surprise Index -30.0 +2.9 points
  • Citi Emerging Markets Economic Surprise Index -2.70 -.7 point
  • 10-Year TIPS Spread 2.10 unch.
  • 90.3% chance of Fed rate hike at Nov. 8th meeting, 96.1% chance at Dec. 19th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +213 open in Japan 
  • China A50 Futures: Indicating +13 open in China
  • DAX Futures: Indicating +5 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech sector longs and emerging market shorts
  • Disclosed Trades: None
  • Market Exposure: 25% Net Long

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