Friday, January 03, 2020

Stocks Lower into Afternoon on Mid-East Tensions, US Economic Data, Profit-Taking, Transport/Financial Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.9 +11.2%
  • Euro/Yen Carry Return Index 125.26 -.53%
  • Emerging Markets Currency Volatility(VXY) 6.7 +2.1%
  • S&P 500 Implied Correlation 42.0 +3.4%
  • ISE Sentiment Index 82.0 -26
  • Total Put/Call .84 +7.69%
  • NYSE Arms 1.10 -20.9%
Credit Investor Angst:
  • North American Investment Grade CDS Index 45.41 +2.31%
  • America Energy Sector High-Yield CDS Index 528.0 -3.72%
  • European Financial Sector CDS Index 53.97 +4.06%
  • Italian/German 10Y Yld Spread 162.5 -1.25 basis points
  • Asia Ex-Japan Investment Grade CDS Index 54.39 +2.55%
  • Emerging Market CDS Index 180.99 +3.04%
  • iBoxx Offshore RMB China Corporate High Yield Index 167.877 +.21%
  • 2-Year Swap Spread 9.25 -.75 basis point
  • TED Spread 40.25 +3.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap 1.25 -3.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 66.73 -.45%
  • 3-Month T-Bill Yield 1.5%  -3.0 basis points
  • Yield Curve .30 -5.0 basis points
  • China Iron Ore Spot 92.38 USD/Metric Tonne -.11%
  • Citi US Economic Surprise Index -9.3 -5.9 points
  • Citi Eurozone Economic Surprise Index 32.50 -.9 point
  • Citi Emerging Markets Economic Surprise Index -10.7 +.2 basis point
  • 10-Year TIPS Spread 1.78 -2.0 basis points
  • 5.6% chance of Fed rate cut at March 18th meeting, 17.5% chance of cut at April 29th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -316 open in Japan 
  • China A50 Futures: Indicating +13 open in China
  • DAX Futures: Indicating -38 open in Germany
Portfolio:
  • Lower: On losses in my biotech/tech/industrial/medical sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
  • Market Exposure: Moved to 75% Net Long

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