Friday, March 22, 2019

Stocks Falling into Final Hour on Global Growth Fears, Yen Strength, Oil Decline, Financial/Energy Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Above Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 16.06 +17.8%
  • Euro/Yen Carry Return Index 129.14 -1.41%
  • Emerging Markets Currency Volatility(VXY) 8.38 +6.89%
  • S&P 500 Implied Correlation 39.50 -15.6%
  • ISE Sentiment Index 58.0 -26.6%
  • Total Put/Call .85 +16.4%
  • NYSE Arms 1.72 +39.8%
Credit Investor Angst:
  • North American Investment Grade CDS Index 66.76 +3.19%
  • America Energy Sector High-Yield CDS Index 520.0 +.62%
  • European Financial Sector CDS Index 88.17 +5.95%
  • Italian/German 10Y Yld Spread 246.25 +4.75 basis points
  • Asia Ex-Japan Investment Grade CDS Index 71.92 -.48%
  • Emerging Market CDS Index 177.50 +6.74%
  • iBoxx Offshore RMB China Corporate High Yield Index 160.34 +.17%
  • 2-Year Swap Spread 8.75 -.5 basis point
  • TED Spread 15.75 -.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -12.0 -1.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 67.23 -1.37%
  • 3-Month T-Bill Yield 2.45% unch.
  • Yield Curve 13.0 +.25 basis point
  • China Iron Ore Spot 83.55 USD/Metric Tonne +1.42%
  • Citi US Economic Surprise Index -33.80 -1.6 points
  • Citi Eurozone Economic Surprise Index -60.0 -34.9 points
  • Citi Emerging Markets Economic Surprise Index -20.90 +.4 point
  • 10-Year TIPS Spread 1.91 -5.0 basis points
  • 18.4% chance of Fed rate cut at June 19th meeting, 25.7% chance of cut at July 31st meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -582 open in Japan 
  • China A50 Futures: Indicating -158 open in China
  • DAX Futures: Indicating +27 open in Germany
Portfolio:
  • Lower: On losses in my industrial/tech/retail/medical/biotech 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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