Monday, September 16, 2019

Stocks Lower into Afternoon on Rising Mid-East Tensions, Profit-Taking, Technical Selling, Airline/Steel Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Slightly Higher
  • Sector Performance: Mixed
  • Volume: Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 14.8 +7.8%
  • Euro/Yen Carry Return Index 123.32 -.82%
  • Emerging Markets Currency Volatility(VXY) 8.13 unch.
  • S&P 500 Implied Correlation 36.60 +2.9%
  • ISE Sentiment Index 89.0 unch.
  • Total Put/Call 1.30 +42.9%
  • NYSE Arms .73 -6.4%
Credit Investor Angst:
  • North American Investment Grade CDS Index 50.83 +1.5%
  • America Energy Sector High-Yield CDS Index 385.0 -1.96%
  • European Financial Sector CDS Index 56.77 +2.52%
  • Italian/German 10Y Yld Spread 132.25 -.75 basis point
  • Asia Ex-Japan Investment Grade CDS Index 55.81 +.67%
  • Emerging Market CDS Index 203.44 +1.20%
  • iBoxx Offshore RMB China Corporate High Yield Index 165.55 +.12%
  • 2-Year Swap Spread 1.75 -2.0 basis points
  • TED Spread 16.0 -1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -14.75 -7.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 65.91 -.31%
  • 3-Month T-Bill Yield 1.99% +4.0 basis points
  • Yield Curve .10 +3.0 basis points
  • China Iron Ore Spot 94.05 USD/Metric Tonne -1.67%
  • Citi US Economic Surprise Index 18.60 +1.2 points
  • Citi Eurozone Economic Surprise Index -34.90 +1.6 points
  • Citi Emerging Markets Economic Surprise Index -9.0 -4.4 points
  • 10-Year TIPS Spread 1.68 +2.0 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 -183 open in Japan 
  • China A50 Futures: Indicating -29 open in China
  • DAX Futures: Indicating +18 open in Germany
Portfolio:
  • Slightly Lower: On losses in my retail/medical sector longs
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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