Tuesday, May 07, 2019

Stocks Sharply Lower into Final Hour on China Trade War Fears, Global Growth Worries, European/Emerging Markets/US High-Yield Debt Angst, Tech/Biotech Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 21.4 +38.8%
  • Euro/Yen Carry Return Index 128.10 -.68%
  • Emerging Markets Currency Volatility(VXY) 8.74 +3.68%
  • S&P 500 Implied Correlation 42.91 +16.5%
  • ISE Sentiment Index 92.0 +24.3%
  • Total Put/Call .91 -12.5%
  • NYSE Arms 1.42 +2.3%
Credit Investor Angst:
  • North American Investment Grade CDS Index 61.33 +4.85%
  • America Energy Sector High-Yield CDS Index 455.0 +.80%
  • European Financial Sector CDS Index 74.82 +6.14%
  • Italian/German 10Y Yld Spread 265.75 +8.5 basis points
  • Asia Ex-Japan Investment Grade CDS Index 67.79 +1.37%
  • Emerging Market CDS Index 199.23 +3.75%
  • iBoxx Offshore RMB China Corporate High Yield Index 162.42 +.03%
  • 2-Year Swap Spread 10.0 -.25 basis point
  • TED Spread 17.0 +2.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -16.25 +2.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 65.98 -.31%
  • 3-Month T-Bill Yield 2.41% unch.
  • Yield Curve 16.75 -2.25 basis points
  • China Iron Ore Spot 92.80 USD/Metric Tonne +.21%
  • Citi US Economic Surprise Index -44.70 +2.5 points
  • Citi Eurozone Economic Surprise Index -20.40 -.6 point
  • Citi Emerging Markets Economic Surprise Index -13.30 unch.
  • 10-Year TIPS Spread 1.87 -3.0 basis points
  • 16.7% chance of Fed rate cut at July 31st meeting, 34.1% chance of cut at Sept. 18th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -368 open in Japan 
  • China A50 Futures: Indicating -361 open in China
  • DAX Futures: Indicating -38 open in Germany
Portfolio:
  • Lower: On losses in my retail/medical/industrial/tech/biotech sector longs
  • 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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