Thursday, July 21, 2016

Stocks Reversing Lower into Final Hour on Earnings Worries, Yen Strength, Oil Decline, Energy/Transport Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.95 +10.0%
  • Euro/Yen Carry Return Index 121.74 -1.06%
  • Emerging Markets Currency Volatility(VXY) 10.17 +.69%
  • S&P 500 Implied Correlation 51.05 +5.48%
  • ISE Sentiment Index 96.0 -3.03%
  • Total Put/Call .92 +17.95%
  • NYSE Arms 1.03 -12.24
Credit Investor Angst:
  • North American Investment Grade CDS Index 70.95 +1.38%
  • America Energy Sector High-Yield CDS Index 718.0 -1.68%
  • European Financial Sector CDS Index 88.38 -5.42%
  • Western Europe Sovereign Debt CDS Index 25.80 -2.60%
  • Asia Pacific Sovereign Debt CDS Index 47.59 +.34%
  • Emerging Market CDS Index 255.29 +.69%
  • iBoxx Offshore RMB China Corporate High Yield Index 130.95 +.03%
  • 2-Year Swap Spread 26.75 +4.25 basis points
  • TED Spread 37.75 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -49.25 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.27 +.01%
  • 3-Month T-Bill Yield .31% -1.0 basis point
  • Yield Curve 88.0 +1.0 basis point
  • China Import Iron Ore Spot $57.17/Metric Tonne +2.55%
  • Citi US Economic Surprise Index 32.80 +4.2 points
  • Citi Eurozone Economic Surprise Index -2.0 +.1 point
  • Citi Emerging Markets Economic Surprise Index -10.60 +.1 point
  • 10-Year TIPS Spread 1.47% -2.0 basis points
  • 26.4% chance of Fed rate hike at Sept. 21 meeting, 26.4% chance at Nov. 2 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -240 open in Japan 
  • China A50 Futures: Indicating -30 open in China
  • DAX Futures: Indicating -52 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my biotech sector longs, index hedges and emerging markets shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
  • Market Exposure: Moved to 25% Net Long

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