Tuesday, May 28, 2019

Stocks Reversing Lower into Final Hour on China Trade Deal Worries, European Debt Angst, Technical Selling, Biotech/Energy Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 16.7 +5.4%
  • Euro/Yen Carry Return Index 127.04 -.22%
  • Emerging Markets Currency Volatility(VXY) 8.38 -.71%
  • S&P 500 Implied Correlation 41.3 +3.7%
  • ISE Sentiment Index 68.0 -1.45%
  • Total Put/Call 1.03 +7.3%
  • NYSE Arms 1.31 +3.15%
Credit Investor Angst:
  • North American Investment Grade CDS Index 66.32 +2.21%
  • America Energy Sector High-Yield CDS Index 567.0 +.73%
  • European Financial Sector CDS Index 89.35 +2.6%
  • Italian/German 10Y Yld Spread 284.50 +17.5 basis points
  • Asia Ex-Japan Investment Grade CDS Index 74.87 +1.02%
  • Emerging Market CDS Index 208.35 +.61%
  • iBoxx Offshore RMB China Corporate High Yield Index 163.13 +.01%
  • 2-Year Swap Spread 3.25 -.25 basis point
  • TED Spread 19.0 +.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -18.75 -.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 65.62 -.3%
  • 3-Month T-Bill Yield 2.34% unch.
  • Yield Curve 13.75 -2.0 basis points
  • China Iron Ore Spot 102.75 USD/Metric Tonne -.38%
  • Citi US Economic Surprise Index -35.0 +5.1 points
  • Citi Eurozone Economic Surprise Index -14.40 +7.3 points
  • Citi Emerging Markets Economic Surprise Index -24.20 +3.2 points
  • 10-Year TIPS Spread 1.74 -3.0 basis points
  • 19.4% chance of Fed rate cut at July 31st meeting, 52.1% chance of cut at Sept. 18th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -175 open in Japan 
  • China A50 Futures: Indicating -144 open in China
  • DAX Futures: Indicating -21 open in Germany
Portfolio:
  • Slightly Higher: On gains in my tech sector longs 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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