Friday, October 05, 2018

Stocks Lower into Final Hour on Rising Long-Term Rates, Fed Rate-Hike Fears, Technical Selling, Tech/Biotech Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 16.36 +15.1%
  • Euro/Yen Carry Return Index 136.32 -.09%
  • Emerging Markets Currency Volatility(VXY) 10.93 +1.02%
  • S&P 500 Implied Correlation 37.05 +11.2%
  • ISE Sentiment Index 81.0 +22.7%
  • Total Put/Call 1.13 +6.6%
  • NYSE Arms .69 +42.3%
Credit Investor Angst:
  • North American Investment Grade CDS Index 61.26 +1.83%
  • America Energy Sector High-Yield CDS Index 386.0 +1.59%
  • European Financial Sector CDS Index 87.05 +1.86%
  • Italian/German 10Y Yld Spread 285.0 +5.25 basis points
  • Asia Pacific Sovereign Debt CDS Index 9.75 +.57%
  • Emerging Market CDS Index 211.97 +2.14%
  • iBoxx Offshore RMB China Corporate High Yield Index 150.68 +.08%
  • 2-Year Swap Spread 17.75 +.5 basis point
  • TED Spread 19.75 +.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -39.25 +.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 66.15 +.20%
  • 3-Month T-Bill Yield 2.21% unch.
  • Yield Curve 34.0 +2.25 basis points
  • China Iron Ore Spot 68.33 USD/Metric Tonne unch.
  • Citi US Economic Surprise Index 6.4 -4.7 points
  • Citi Eurozone Economic Surprise Index -29.3 +4.3 points
  • Citi Emerging Markets Economic Surprise Index -12.1 -1.8 points
  • 10-Year TIPS Spread 2.17 unch.
  • 76.9% chance of Fed rate hike at Dec. 19th meeting, 78.0% chance at Jan. 30th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -123 open in Japan 
  • China A50 Futures: Indicating -416 open in China
  • DAX Futures: Indicating -29 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my index hedges and emerging market shorts
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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