Friday, September 07, 2018

Stocks Modestly Lower into Final Hour on Trade War Fears, Rising Long-Term Rates, Technical Selling, Homebuilding/Utility Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 15.2 +4.0%
  • Euro/Yen Carry Return Index 133.58 -.23%
  • Emerging Markets Currency Volatility(VXY) 12.85 -1.23%
  • S&P 500 Implied Correlation 31.37 +1.26%
  • ISE Sentiment Index 130.0 +68.8%
  • Total Put/Call 1.05 unch.
  • NYSE Arms .70 -39.1%
Credit Investor Angst:
  • North American Investment Grade CDS Index 59.84 -.15%
  • America Energy Sector High-Yield CDS Index 418.0 -.51%
  • European Financial Sector CDS Index 74.97 -3.81%
  • Italian/German 10Y Yld Spread 264.75 -5.5 basis points
  • Asia Pacific Sovereign Debt CDS Index 12.50 -1.50%
  • Emerging Market CDS Index 226.36 -.14%
  • iBoxx Offshore RMB China Corporate High Yield Index 151.42 +.01%
  • 2-Year Swap Spread 19.0 unch.
  • TED Spread 19.75 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -12.25 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 65.41 +.35%
  • 3-Month T-Bill Yield 2.13% unch.
  • Yield Curve 23.75 -.25 basis point
  • China Iron Ore Spot 68.05 USD/Metric Tonne +.22%
  • Citi US Economic Surprise Index -3.6 +.9 point
  • Citi Eurozone Economic Surprise Index -3.9 -4.0 points
  • Citi Emerging Markets Economic Surprise Index -6.30 +.2 point
  • 10-Year TIPS Spread 2.11 +2.0 basis points
  • 96.4% chance of Fed rate hike at Nov. 8th meeting, 98.9% chance at Dec. 19th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +68 open in Japan 
  • China A50 Futures: Indicating -77 open in China
  • DAX Futures: Indicating -33 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my industrial/biotech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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