Tuesday, October 02, 2018

Stocks Mostly Lower into Final Hour on Eurozone Debt Angst, Yen Strength, Profit-Taking, Retail/Road & Rail Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Mixed
  • Volume: Above Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 12.0 unch.
  • Euro/Yen Carry Return Index 136.47 -.57%
  • Emerging Markets Currency Volatility(VXY) 10.26 +1.68%
  • S&P 500 Implied Correlation 34.32 -1.15%
  • ISE Sentiment Index 138.0 +58.6%
  • Total Put/Call .80 -20.0%
  • NYSE Arms .72 +16.3%
Credit Investor Angst:
  • North American Investment Grade CDS Index 59.16 +1.43%
  • America Energy Sector High-Yield CDS Index 411.0 +7.96%
  • European Financial Sector CDS Index 88.19 +3.81%
  • Italian/German 10Y Yld Spread 303.0 +20.25 basis points
  • Asia Pacific Sovereign Debt CDS Index 9.09 +3.12%
  • Emerging Market CDS Index 192.03 -.75%
  • iBoxx Offshore RMB China Corporate High Yield Index 150.78 +.08%
  • 2-Year Swap Spread 17.25 +.5 basis point
  • TED Spread 18.75 -.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -41.0 +.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 66.77 -.28%
  • 3-Month T-Bill Yield 2.21% +1.0 basis point
  • Yield Curve 24.25 -1.5 basis points
  • China Iron Ore Spot 69.0 USD/Metric Tonne +.29%
  • Citi US Economic Surprise Index -7.7 -.1 point
  • Citi Eurozone Economic Surprise Index -29.30 -.6 point
  • Citi Emerging Markets Economic Surprise Index -10.8 +.8 point
  • 10-Year TIPS Spread 2.13 -1.0 basis point
  • 77.2% chance of Fed rate hike at Dec. 19th meeting, 78.6% chance at Jan. 30th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -20 open in Japan 
  • China A50 Futures: Indicating -193 open in China
  • DAX Futures: Indicating -31 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my retail/medical/biotech sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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