Friday, August 09, 2019

Stocks Lower into Final Hour on China Trade Deal Concerns, European Debt Angst, Technical Selling, Retail/Airline 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) 17.9 +6.0%
  • Euro/Yen Carry Return Index 122.85 -.23%
  • Emerging Markets Currency Volatility(VXY) 8.35 +.36%
  • S&P 500 Implied Correlation 39.0 -.23%
  • ISE Sentiment Index 96.0 +41.2%
  • Total Put/Call .99 -4.81%
  • NYSE Arms 1.63 +158.70%
Credit Investor Angst:
  • North American Investment Grade CDS Index 59.15 +1.6%
  • America Energy Sector High-Yield CDS Index 393.0 -1.95%
  • European Financial Sector CDS Index 72.57 +7.6%
  • Italian/German 10Y Yld Spread 238.25 +29.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 67.38 -1.13%
  • Emerging Market CDS Index 178.28 +1.87%
  • iBoxx Offshore RMB China Corporate High Yield Index 164.72 -.16%
  • 2-Year Swap Spread -1.25 +1.5 basis points
  • TED Spread 19.25 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -12.5 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 66.26 -.27%
  • 3-Month T-Bill Yield 1.99% -2.0 basis points
  • Yield Curve 9.75 -.5 basis point
  • China Iron Ore Spot 85.23 USD/Metric Tonne -4.32%
  • Citi US Economic Surprise Index -30.9 +.7 point
  • Citi Eurozone Economic Surprise Index -54.10 -1.1 points
  • Citi Emerging Markets Economic Surprise Index -20.3 -.4 point
  • 10-Year TIPS Spread 1.66 +1.0 basis point
  • 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 -169 open in Japan 
  • China A50 Futures: Indicating -45 open in China
  • DAX Futures: Indicating +32 open in Germany
Portfolio:
  • Slightly Lower: On losses in my tech/biotech/retail sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

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