Thursday, October 04, 2018

Stocks Lower into Final Hour on Fed Rate-Hike Worries, Emerging Market Currency/Debt Angst, Oil Decline, Tech/Biotech 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) 15.65 +34.8%
  • Euro/Yen Carry Return Index 136.23 -.35%
  • Emerging Markets Currency Volatility(VXY) 10.73 +4.17%
  • S&P 500 Implied Correlation 35.39 +2.9%
  • ISE Sentiment Index 59.0 -42.72%
  • Total Put/Call 1.07 +27.4%
  • NYSE Arms .59 -6.3%
Credit Investor Angst:
  • North American Investment Grade CDS Index 59.02 +.06%
  • America Energy Sector High-Yield CDS Index 381.0 +.97%
  • European Financial Sector CDS Index 85.32 +.5%
  • Italian/German 10Y Yld Spread 279.75 -4.0 basis points
  • Asia Pacific Sovereign Debt CDS Index 9.69 +5.21%
  • Emerging Market CDS Index 208.05 +6.46%
  • iBoxx Offshore RMB China Corporate High Yield Index 150.57 -.09%
  • 2-Year Swap Spread 17.25 +1.0 basis point
  • TED Spread 19.0 +1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -39.75 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 65.94 -.78%
  • 3-Month T-Bill Yield 2.21% -1.0 basis point
  • Yield Curve 31.75 +2.25 basis points
  • China Iron Ore Spot 68.25 USD/Metric Tonne -.19%
  • Citi US Economic Surprise Index 11.1 +2.3 points
  • Citi Eurozone Economic Surprise Index -33.6 +.4 point
  • Citi Emerging Markets Economic Surprise Index -10.3 -.4 point
  • 10-Year TIPS Spread 2.17 unch.
  • 77.1% chance of Fed rate hike at Dec. 19th meeting, 78.7% chance at Jan. 30th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -230 open in Japan 
  • China A50 Futures: Indicating -533 open in China
  • DAX Futures: Indicating -33 open in Germany
Portfolio: 
  • Lower: On losses in my retail/biotech/industrial/tech/medical sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
  • Market Exposure: Moved to 50% Net Long

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