Thursday, May 30, 2019

Stocks Reversing Lower into Final Hour on China Trade War Fears, Oil Plunge, Technical Selling, Energy/Financial Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 18.1 +1.0%
  • Euro/Yen Carry Return Index 126.73 +.02%
  • Emerging Markets Currency Volatility(VXY) 8.35 -1.53%
  • S&P 500 Implied Correlation 44.43 +2.11%
  • ISE Sentiment Index 84.0 +37.7%
  • Total Put/Call 1.08 -23.4%
  • NYSE Arms 1.22 +24.5%
Credit Investor Angst:
  • North American Investment Grade CDS Index 67.29 +.28%
  • America Energy Sector High-Yield CDS Index 589.0 +1.46%
  • European Financial Sector CDS Index 89.61 -2.43%
  • Italian/German 10Y Yld Spread 283.0 +1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 76.86 -.06%
  • Emerging Market CDS Index 208.73 -.72%
  • iBoxx Offshore RMB China Corporate High Yield Index 163.17 unch.
  • 2-Year Swap Spread 5.0 +.5 basis point
  • TED Spread 18.50-.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -16.5 +.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 65.53 -.12%
  • 3-Month T-Bill Yield 2.36% +2.0 basis points
  • Yield Curve 15.25 -.25 basis point
  • China Iron Ore Spot 97.05 USD/Metric Tonne -.87%
  • Citi US Economic Surprise Index -33.9 -.8 point
  • Citi Eurozone Economic Surprise Index -20.90 -.7 point
  • Citi Emerging Markets Economic Surprise Index -24.30 -.2 point
  • 10-Year TIPS Spread 1.75 +2.0 basis points
  • 29.4% chance of Fed rate cut at July 31st meeting, 58.7% chance of cut at Sept. 18th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -53 open in Japan 
  • China A50 Futures: Indicating -157 open in China
  • DAX Futures: Indicating -15 open in Germany
Portfolio:
  • Slightly Higher: On gains in my industrial/medical sector longs and index hedges
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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