Thursday, August 30, 2018

Stocks Lower into Final Hour on Trade War Fears, European/Emerging Markets Debt Angst, Profit-Taking, Metals&Mining/Telecom Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.3 +8.5%
  • Euro/Yen Carry Return Index 134.69 -.99%
  • Emerging Markets Currency Volatility(VXY) 12.70 +4.44%
  • S&P 500 Implied Correlation 31.53 +3.6%
  • ISE Sentiment Index 95.0 +13.1%
  • Total Put/Call .83 -1.19%
  • NYSE Arms 1.81 +83.6%
Credit Investor Angst:
  • North American Investment Grade CDS Index 60.53 +3.29%
  • America Energy Sector High-Yield CDS Index 405.0 +1.55%
  • European Financial Sector CDS Index 83.45 +3.56%
  • Italian/German 10Y Yld Spread 287.0 +15.0 basis points
  • Asia Pacific Sovereign Debt CDS Index 10.5 +1.70%
  • Emerging Market CDS Index 230.57 +7.18%
  • iBoxx Offshore RMB China Corporate High Yield Index 151.28 +.02%
  • 2-Year Swap Spread 18.5 +1.0 basis point
  • TED Spread 20.0 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -12.0 -1.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 65.55 -1.02%
  • 3-Month T-Bill Yield 2.10% -2.0 basis points
  • Yield Curve 20.75 unch.
  • China Iron Ore Spot 66.11 USD/Metric Tonne +1.71%
  • Citi US Economic Surprise Index -18.40 -.5 point
  • Citi Eurozone Economic Surprise Index 2.90 -.8 point
  • Citi Emerging Markets Economic Surprise Index -11.0 -.7 point
  • 10-Year TIPS Spread 2.11 -1.0 basis point
  • 94.8% chance of Fed rate hike at Nov. 8th meeting, 98.2% chance at Dec. 19th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -184 open in Japan 
  • China A50 Futures: Indicating -135 open in China
  • DAX Futures: Indicating -39 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my tech/industrial/retail 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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