BETWEEN THE HEDGES

Friday, September 04, 2015

Weekly Scoreboard*

Posted by Gary .....at 6:18 PM

Indices

S&P 500 1,921.22 -3.40%

DJIA 16,102.38 -3.24%

NASDAQ 4,683.92 -2.99%

Russell 2000 1,136.17 -2.30%

S&P 500 High Beta 29.59 -2.86%

Goldman 50 Most Shorted 122.94 -1.93%

Wilshire 5000 20,096.17 -3.23%

Russell 1000 Growth 941.39 -3.14%

Russell 1000 Value 921.47 -3.49%

S&P 500 Consumer Staples 475.61 -2.50%

Solactive US Cyclical 118.03 -2.90%

Morgan Stanley Technology 983.56 -3.76%

Transports 7,793.83 -1.45%

Utilities 541.97 -5.28%

Bloomberg European Bank/Financial Services 103.83 -4.3%

MSCI Emerging Markets 32.51 -3.97%

HFRX Equity Hedge 1,159.36 +.62%

HFRX Equity Market Neutral 1,012.72 +.13%

Sentiment/Internals

NYSE Cumulative A/D Line 228,206 +.29%

Bloomberg New Highs-Lows Index -288 +29

Bloomberg Crude Oil % Bulls 27.27 -23.01%

CFTC Oil Net Speculative Position 215,563 +2.37%

CFTC Oil Total Open Interest 1,677,151 -.69%

Total Put/Call 1.43 +11.72%

OEX Put/Call 2.05 +177.03%

ISE Sentiment 67.0 -15.19%

NYSE Arms 3.14 +196.22%

Volatility(VIX) 27.80 +6.72%

S&P 500 Implied Correlation 63.97 +6.60%

G7 Currency Volatility (VXY) 10.89 +7.19%

Emerging Markets Currency Volatility (EM-VXY) 12.47 +7.31%

Smart Money Flow Index 16,696.35 -.11%

ICI Money Mkt Mutual Fund Assets $2.678 Trillion -.6%

ICI US Equity Weekly Net New Cash Flow -$9.789 Billion

AAII % Bulls 32.4 -.4%

AAII % Bears 31.7 -17.3%

Futures Spot Prices

CRB Index 196.70 -.2%

Crude Oil 46.09 +1.28%

Reformulated Gasoline 141.63 +2.20%

Natural Gas 2.66 -2.60%

Heating Oil 159.54 +1.50%

Gold 1,121.40 -1.09%

Bloomberg Base Metals Index 148.23 +1.68%

Copper 232.10 -.88%

US No. 1 Heavy Melt Scrap Steel 210.67 USD/Ton unch.

China Iron Ore Spot 56.50 USD/Ton +.82%

Lumber 228.40 -3.67%

UBS-Bloomberg Agriculture 1,001.98 -1.37%

Economy

ECRI Weekly Leading Economic Index Growth Rate -1.7% -80.0 basis points

Philly Fed ADS Real-Time Business Conditions Index .1913 unch.

S&P 500 Blended Forward 12 Months Mean EPS Estimate 126.48 +.21%

Citi US Economic Surprise Index -15.6 -8.1 points

Citi Eurozone Economic Surprise Index 25.4 +10.8 points

Citi Emerging Markets Economic Surprise Index -23.8 -14.2 points

Fed Fund Futures imply 70.0% chance of no change, 30.0% chance of 25 basis point hike on 9/17
# of Months to 1st Fed Rate Hike(Morgan Stanley) 4.39 -25.84%

US Dollar Index 96.24 +.09%

Euro/Yen Carry Return Index 138.51 -2.6%

Yield Curve 143.0 -4.0 basis points

10-Year US Treasury Yield 2.13% -5.0 basis points

Federal Reserve's Balance Sheet $4.437 Trillion +.02%

U.S. Sovereign Debt Credit Default Swap 16.60 +1.38%

Illinois Municipal Debt Credit Default Swap 244.0 -3.26%

Western Europe Sovereign Debt Credit Default Swap Index 21.87 -2.08%

Asia Pacific Sovereign Debt Credit Default Swap Index 83.42 +4.13%

Emerging Markets Sovereign Debt CDS Index 274.90 -1.41%

Israel Sovereign Debt Credit Default Swap 68.61 -2.67%

Iraq Sovereign Debt Credit Default Swap 756.73 +2.74%

Russia Sovereign Debt Credit Default Swap 384.20 +2.11%

iBoxx Offshore RMB China Corporates High Yield Index 116.86 +.06%

10-Year TIPS Spread 1.52% -10.0 basis points

TED Spread 31.75 +4.5 basis points

2-Year Swap Spread 13.25 -2.0 basis points

3-Month EUR/USD Cross-Currency Basis Swap -24.0 -2.75 basis points

N. America Investment Grade Credit Default Swap Index 82.95 +4.72%

America Energy Sector High-Yield Credit Default Swap Index 1,802.0 -4.34%

European Financial Sector Credit Default Swap Index 83.98 +3.43%

Emerging Markets Credit Default Swap Index 360.98 +4.76%

CMBS AAA Super Senior 10-Year Treasury Spread to Swaps 114.5 +13.5 basis points

M1 Money Supply $3.054 Trillion +.50%

Commercial Paper Outstanding 1,032.30 -1.70%

4-Week Moving Average of Jobless Claims 275,500 +3,000

Continuing Claims Unemployment Rate 1.7% unch.

Average 30-Year Mortgage Rate 3.89% +5 basis points

Weekly Mortgage Applications 459.50 +11.34%

Bloomberg Consumer Comfort 41.4 -.6 point

Weekly Retail Sales +1.60% -10.0 basis points

Nationwide Gas $2.42/gallon -.09/gallon

Baltic Dry Index 891.0 -1.54%

China (Export) Containerized Freight Index 820.91 -2.78%

Oil Tanker Rate(Arabian Gulf to U.S. Gulf Coast) 22.5 +12.5%

Rail Freight Carloads 284,531 +1.99%

Best Performing Style

Small-Cap Value -2.1%

Worst Performing Style

Large-Cap Value -3.5%

Leading Sectors

Airlines +1.1%

Homebuilders unch.

Tobacco -.7%

Telecom -1.1%

Foods -1.3%

Lagging Sectors

Biotech -4.5%

Medical Equipment -5.0%

Utilities -5.5%

Coal -7.0%

Gold & Silver -8.6%

Weekly High-Volume Stock Gainers (16)

PSEM, VRA, MDCO, MEI, MTRX, TKAI, BGS, LE, GEF, SWHC, ISLE, MPG, BIG, NAV, UAL and MDP

Weekly High-Volume Stock Losers (12)

ABM, ADSK, FIVE, VRNT, RGS, SAIC, DLTR, SCOR, TDOC, AVAV, JOY and HTWR

Weekly Charts

ETFs

High-Volume Gainers

High-Volume Losers

Stocks

High-Volume Gainers

High-Volume Losers

*5-Day Change

Stocks Falling Substantially into Afternoon on Global Growth Fears, Fed Rate Hike Worries, Oil Decline, Commodity/Financial Sector Weakness

Posted by Gary .....at 2:33 PM

Broad Equity Market Tone:

Advance/Decline Line: Substantially Lower

Sector Performance: Almost Every Sector Declining

Volume: Below Average

Market Leading Stocks: Performing In Line

Equity Investor Angst:

Volatility(VIX) 28.92 +12.92%

Euro/Yen Carry Return Index 138.57 -.68%

Emerging Markets Currency Volatility(VXY) 12.26 n/a

S&P 500 Implied Correlation 65.56 +1.83%

ISE Sentiment Index 83.0 +5.0%

Total Put/Call 1.44 +28.57%

NYSE Arms 2.71 +284.26%

Credit Investor Angst:

North American Investment Grade CDS Index 83.53 +1.93%

America Energy Sector High-Yield CDS Index 1,802.0 -3.34%

European Financial Sector CDS Index 84.05 +2.70%

Western Europe Sovereign Debt CDS Index 21.87 +2.80%

Asia Pacific Sovereign Debt CDS Index 83.42 +2.49%

Emerging Market CDS Index 360.77 +3.13%

iBoxx Offshore RMB China Corporates High Yield Index 116.86 +.02%

2-Year Swap Spread 13.25 -1.0 basis point

TED Spread 31.75 -.5 basis point

3-Month EUR/USD Cross-Currency Basis Swap -23.75 +.25 basis point

Economic Gauges:

3-Month T-Bill Yield .03% +1.0 basis point

Yield Curve 143.0 -4.0 basis points

China Import Iron Ore Spot $56.50/Metric Tonne n/a

Citi US Economic Surprise Index -15.6 -.9 point

Citi Eurozone Economic Surprise Index 25.4 -1.5 points

Citi Emerging Markets Economic Surprise Index -23.8 -.6 point

10-Year TIPS Spread 1.51 -3.0 basis points

# of Months to 1st Fed Rate Hike(Morgan Stanley) 4.39 n/a

Overseas Futures:

Nikkei 225 Futures: Indicating -283 open in Japan

China A50 Futures: Indicating n/a open in China

DAX Futures: Indicating -61 open in Germany

Portfolio:

Slightly Higher: On gains in my index hedges and emerging markets shorts

Disclosed Trades: None

Market Exposure: 25% Net Long

Today's Headlines

Posted by Gary .....at 2:07 PM

Bloomberg:

China Stocks Sink in Hong Kong to Two-Year Low on Mainland Risks. China’s stocks slumped in Hong Kong to a two-year low amid speculation mainland shares will decline when trading resumes on Monday after holidays. The Hang Seng China Enterprises Index lost 1.4 percent to 9,169.59 at the close as developer China Vanke Co. and bad-loan manager China Cinda Asset Management Co. led declines. The measure tumbled 6 percent this week to its lowest level since July 2013. Hong Kong financial markets were shut on Thursday for a holiday. The Hang Seng Index dropped 0.5 percent. The gauge of Chinese stocks in Hong Kong has tumbled 23 percent this year, the worst performing index in the world after Peru.
Hong Kong Home Sales to Slide as Stocks Tank, Centaline Says. Home sales in Hong Kong, where prices have surged to a record, are set to extend declines as buying interest slumped with a stock rout, according to one of the city’s two largest property brokers. Transactions of properties valued from HK$10 million ($1.3 million) to HK$20 million may shrink 20 percent in September from August, Louis Chan, chief executive officer of the residential unit of Centaline Property Agency Ltd., said in a phone interview. Sales of all existing homes done by the closely held real estate agency fell as much as 30 percent in August, Chan said. Hong Kong’s benchmark Hang Seng Index tumbled 12 percent last month, with the gauge slumping 5.2 percent, or more than 1,000 points on Aug. 24, as concerns about a slowdown in China sent equities worldwide into a tailspin. The index is down another 4 percent so far this month. “We got quite nervous on the day when the HSI dropped 1,000 points, because our daily revenue vanished 50 to 60 percent in a single day,” Chan said. “Nobody was in the mood to buy an apartment.”
China: What are the Global Concerns? (video).
Linking China Dependence, Suffering Commodity Economies. (video)
German Factory Orders Fell in July in Sign of Bumpy Recovery. German factory orders fell more than expected in July, signaling that growth in Europe’s largest economy may yet be bumpy. Orders, adjusted for seasonal swings and inflation, dropped 1.4 percent after increasing a revised 1.8 percent in June, data from the Economy Ministry in Berlin showed on Friday. The typically volatile number compares with a median estimate of a 0.6 percent decline in a Bloomberg survey. Orders unexpectedly slid 0.6 percent from a year earlier. German exporters are exposed to a potential cooling of global trade as China’s economy slows, meaning companies may have to rely more on domestic demand. Export orders dropped 5.2 percent in July as domestic demand climbed 4.1 percent, the Economy Ministry report showed. Orders from outside the 19-nation euro area slumped 9.5 percent, and orders from within the currency bloc rose 2.2 percent. Orders for consumer goods fell 6.3 percent, investment goods orders shrank 1.6 percent, and basic goods orders slid 0.2 percent.
Germany's Stocks Capitulate as Decline Triggers DAX Death Cross. German equities, which have already lost most of their gains for the year, have now fallen into a bearish chart pattern known as a death cross. The DAX Index’s 50-day moving average dropped below its 200-day mean for the first time in a year. For technical analysts, that’s a sign that price momentum is fading. The gauge has fallen 18 percent since reaching a record in April, leaving it up only 3.5 percent for the year.“It’s the market saying we want to see a retest of the August low and touching even a new low,” said Jean-Charles Gand, a senior market strategist at BBSP SAS in Paris.
Russia Bows to Cheap Oil as Putin Aide Sees $50 Price for Budget. Russia will assume that crude prices will stay near their present level in calculating next year’s budget as the world’s largest energy exporter adjusts to a downturn on the oil market, according to President Vladimir Putin’s top economic aide. The budget will be based on an average oil price of $50 a barrel, Andrey Belousov told reporters in Vladivostok on Friday. Putin said he’s asking parliament to support a shift to a one-year fiscal plan in 2016 because it’s “impossible” to predict the direction of global markets. Non-OPEC member Russia, whose currency has plunged 45 percent in the past 12 months, is growing resigned to slumping oil, which together with gas accounts for about half of budget revenue.
VW, Ford(F) Open Engine Plants in Russia Amid Car Market Plunge. Volkswagen AG and Ford Motor Co. are sticking with long-planned investments in Russian engine factories even as car sales there head toward a six-year low. Volkswagen opened a 250 million-euro ($279 million) plant on Friday, with Russian Prime Minister Dmitry Medvedev attending the inaugural ceremony. The factory near Kaluga, an industrial city southwest of Moscow where Volkswagen already produces vehicles, will have capacity to make 150,000 engines a year for Russian-made VW-brand and Skoda cars, helping reduce prices, Marcus Osegowitsch, head of the carmaker’s Russian unit, said at the event.
Emerging Markets Quiver as U.S. `Full Employment' Backs Fed Move. Emerging-market stocks and currencies headed for weekly declines as the U.S. jobless rate dropped to a level the Federal Reserve considers to be full employment, bolstering the case for an interest-rate increase. The MSCI Emerging Markets Index slumped 1.7 percent to 787.85 at 11:29 a.m. in New York. The gauge has dropped 4 percent in the last five days, poised for its 15th decline in the 19 weeks since April. Stocks have tumbled 10 percent since Aug. 11, when China unexpectedly devalued the yuan, deepening a rout amid concern that the slowdown in the second-biggest economy will damp global demand. A gauge of 20 developing-nation currencies is heading for a 1.6 percent weekly decline, extending a record low.
European Stocks Snap Winning Streak, Traders Wait on Fed. (video)
Lacker Says It’s Time for Fed to End Era of Zero Rates. Federal Reserve Bank of Richmond President Jeffrey Lacker said it’s time for the central bank to end the era of record-low interest rates, now that the impacts from winter weather and energy prices have passed. The Richmond Fed president, who’s historically been more inclined toward tighter policy than most of his colleagues, said Friday that labor-market slack has been reduced to pre-recession levels, and shorter-term inflation measures are tracking the U.S. central bank’s 2 percent target. “I am not arguing that the economy is perfect, but nor is it on the ropes, requiring zero interest rates to get it back into the ring,” Lacker said in the text of a speech in Richmond. “It’s time to align our monetary policy with the significant progress we have made.”
Glencore Posts Worst Week Ever as Mining Shares Extend Slump. Glencore Plc shares posted the biggest weekly decline since the company went public in 2011 as the selloff in mining shares showed no signs of slowing. The commodities producer and trader slid 6 percent by the London close on Friday, bringing losses for the week to 17 percent. Vedanta Resources Plc, an Indian miner of copper, aluminum and zinc, dropped 12 percent for the biggest retreat in the FTSE 350 Mining Index. Anglo American Plc and Antofagasta Plc sank more than 5 percent.
Wheat Glut Erodes U.S. Exports as Cheap Russia Grain Wins Buyers. Oil isn’t the only commodity where the largest producers are fighting for market share in a world awash with supply. Russia and the U.S., two of the biggest wheat exporters, are going head-to-head in a battle for customers. Russian shippers, with the advantage of a weak currency and falling freight rates, can undercut most competitors, selling their grain about 16 percent cheaper than cargoes from the U.S.
Caterpillar(CAT) Downgraded to Neutral at Baird. (video)

CNBC:

Europe markets close sharply lower after US jobs report. (video) European stocks closed sharply lower on Friday, as the latest U.S. non-farm payrolls report boosted investors' fears that the Federal Reserve could raise interest rates at its meeting later this month. The pan-European STOXX 600 closed around 2.5 percent lower, extending losses after the jobs report, with all major bourses and down more than 2 percent. The French CAC 40 closed down 2.8 percent, the British FTSE 100 was down 2.4 percent and the German DAX closed unofficially 2.5 percent lower.
This obscure market is pointing to more pain for stocks. (video) According to McDonald, deterioration in the Asian credit markets actually started before the recent bout of selling in U.S. equities, and has been a reliable indicator for where they are heading. "We actually saw Asian credits significantly deteriorate almost a week before we had the big selloff here," he said.
Obamacare's many double-digit price hikes for next year.