Thursday, August 23, 2018

Stocks Slightly Lower into Final Hour on Emerging Market Debt/Currency Angst, Economic Data, Profit-Taking, Metals&Mining/Homebuilding 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) 12.2 -.41%
  • Euro/Yen Carry Return Index 133.55 +.12%
  • Emerging Markets Currency Volatility(VXY) 12.29 +2.42%
  • S&P 500 Implied Correlation 30.64 +8.4%
  • ISE Sentiment Index 77.0 -31.25%
  • Total Put/Call 1.07 +11.5%
  • NYSE Arms 1.33 +11.0%
Credit Investor Angst:
  • North American Investment Grade CDS Index 60.20 +.67%
  • America Energy Sector High-Yield CDS Index 399.0 -.57%
  • European Financial Sector CDS Index 82.32 +1.99%
  • Italian/German 10Y Yld Spread 274.75 +3.0 basis points
  • Asia Pacific Sovereign Debt CDS Index 10.63 +.14%
  • Emerging Market CDS Index 208.80 +2.39%
  • iBoxx Offshore RMB China Corporate High Yield Index 151.0 +.02%
  • 2-Year Swap Spread 18.5 -.75 basis point
  • TED Spread 24.25 +.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -11.25 -1.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 66.37 -.81%
  • 3-Month T-Bill Yield 2.07% unch.
  • Yield Curve 21.0 -2.0 basis points
  • China Iron Ore Spot 66.59 USD/Metric Tonne +.27%
  • Citi US Economic Surprise Index -20.20 -2.9 points
  • Citi Eurozone Economic Surprise Index -5.60 +3.1 points
  • Citi Emerging Markets Economic Surprise Index -8.60 +1.2 points
  • 10-Year TIPS Spread 2.09 +1.0 basis point
  • 92.5% chance of Fed rate hike at Nov. 8th meeting, 97.4% chance at Dec. 19th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +85 open in Japan 
  • China A50 Futures: Indicating -55 open in China
  • DAX Futures: Indicating +3 open in Germany
Portfolio: 
  • Higher: On gains in my tech/retail/medical sector longs and emerging market shorts
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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