Wednesday, August 14, 2019

Stocks Falling Substantially into Afternoon on Global Growth Fears, European/Emerging Markets/US High-Yield Debt Angst, Oil Decline, Retail/Financial Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Heavy
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 21.6 +23.5%
  • Euro/Yen Carry Return Index 122.51 -1.1%
  • Emerging Markets Currency Volatility(VXY) 8.9 +2.1%
  • S&P 500 Implied Correlation 50.3 +4.1%
  • ISE Sentiment Index 74.0 -11.9%
  • Total Put/Call 1.23 +33.7%
  • NYSE Arms 1.95 +126.8%
Credit Investor Angst:
  • North American Investment Grade CDS Index 61.14 +5.5%
  • America Energy Sector High-Yield CDS Index 401.0 +.22%
  • European Financial Sector CDS Index 74.55 +6.1%
  • Italian/German 10Y Yld Spread 215.75 -7.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 70.25 unch.
  • Emerging Market CDS Index 218.45 +5.9%
  • iBoxx Offshore RMB China Corporate High Yield Index 164.66 -.12%
  • 2-Year Swap Spread .75 +1.75 basis points
  • TED Spread 17.0 -2.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -14.75 +5.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 65.59 -.73%
  • 3-Month T-Bill Yield 1.95% -4.0 basis points
  • Yield Curve .75 -1.25 basis points
  • China Iron Ore Spot 88.35 USD/Metric Tonne -1.32%
  • Citi US Economic Surprise Index -19.9 -.1 point
  • Citi Eurozone Economic Surprise Index -64.50 -1.6 points
  • Citi Emerging Markets Economic Surprise Index -22.4 -6.5 points
  • 10-Year TIPS Spread 1.58 -6.0 basis points
  • 100.0% chance of Fed rate cut at Oct. 30th meeting, 100.0% chance of cut at Dec. 11th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -485 open in Japan 
  • China A50 Futures: Indicating -180 open in China
  • DAX Futures: Indicating -22 open in Germany
Portfolio:
  • Lower: On losses in my tech/biotech/retail/medical/industrial 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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