Monday, December 17, 2018

Stocks Falling Substantially into Final Hour on Global Growth Fears, Oil Decline, Technical Selling, Healthcare/Tech 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) 24.6 +13.7%
  • Euro/Yen Carry Return Index 133.02 -.22%
  • Emerging Markets Currency Volatility(VXY) 9.82 -1.41%
  • S&P 500 Implied Correlation 50.57 -.37%
  • ISE Sentiment Index 71.0 -23.7%
  • Total Put/Call 1.33 +17.7%
  • NYSE Arms .82 -35.9%
Credit Investor Angst:
  • North American Investment Grade CDS Index 81.11 +3.2%
  • America Energy Sector High-Yield CDS Index 678.0 +.88%
  • European Financial Sector CDS Index 104.10 +1.32%
  • Italian/German 10Y Yld Spread 270.5 +1.75 basis points
  • Asia Pacific Sovereign Debt CDS Index 9.22 -5.1%
  • Emerging Market CDS Index 198.05 -.47%
  • iBoxx Offshore RMB China Corporate High Yield Index 148.85 -.51%
  • 2-Year Swap Spread 14.25 -.5 basis point
  • TED Spread 39.75 +2.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -6.5 +3.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 66.81 +.18%
  • 3-Month T-Bill Yield 2.39% -3.0 basis points
  • Yield Curve 16.0 +.5 basis point
  • China Iron Ore Spot 68.42 USD/Metric Tonne -.44%
  • Citi US Economic Surprise Index -14.3 -7.0 points
  • Citi Eurozone Economic Surprise Index -74.20 +2.0 points
  • Citi Emerging Markets Economic Surprise Index -4.4 -2.9 points
  • 10-Year TIPS Spread 1.81 -2.0 basis points
  • 72.0% chance of Fed rate hike at Jan. 30th meeting, 79.3% chance at March 20th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -436 open in Japan 
  • China A50 Futures: Indicating -133 open in China
  • DAX Futures: Indicating -70 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my emerging market shorts and index hedges
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
  • Market Exposure: Moved to 25% Net Long

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