Wednesday, November 20, 2019

Stocks Lower into Final Hour on China Trade Deal Concerns, Profit-Taking, Technical Selling, Transport/Retail Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.2 +2.7%
  • Euro/Yen Carry Return Index 124.83 unch.
  • Emerging Markets Currency Volatility(VXY) 7.23 +.84%
  • S&P 500 Implied Correlation 43.42 -1.3%
  • ISE Sentiment Index 85.0 -10
  • Total Put/Call 1.02 -5.6%
  • NYSE Arms .87 -34.6%
Credit Investor Angst:
  • North American Investment Grade CDS Index 52.98 +1.99%
  • America Energy Sector High-Yield CDS Index 576.0 +4.78%
  • European Financial Sector CDS Index 59.77 +1.04%
  • Italian/German 10Y Yld Spread 154.75 -3.75 basis points
  • Asia Ex-Japan Investment Grade CDS Index 65.50 +2.3%
  • Emerging Market CDS Index 205.47 +1.03%
  • iBoxx Offshore RMB China Corporate High Yield Index 167.73 -.09%
  • 2-Year Swap Spread -1.0 unch.
  • TED Spread 34.0 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -13.25 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 65.51 -.18%
  • 3-Month T-Bill Yield 1.56% +1.0 basis point
  • Yield Curve .17 -2.0 basis points
  • China Iron Ore Spot 82.90 USD/Metric Tonne -1.05%
  • Citi US Economic Surprise Index -1.1 +.3 basis point
  • Citi Eurozone Economic Surprise Index -15.90 +.4 point
  • Citi Emerging Markets Economic Surprise Index -26.90 +.4 basis point
  • 10-Year TIPS Spread 1.62 -2.0 basis points
  • 22.9% chance of Fed rate cut at Jan. 29th meeting, 40.1% chance of cut at March 18th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -18 open in Japan 
  • China A50 Futures: Indicating -35 open in China
  • DAX Futures: Indicating -29 open in Germany
Portfolio:
  • Slightly Higher: On gains in my biotech sector longs and index hedges
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

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