Friday, April 28, 2017

Stocks Falling Slightly into Final Hour on Less Economic Optimism, Profit-Taking, Geopolitical Concerns, Homebuilding/REIT Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 11.06 +6.76%
  • Euro/Yen Carry Return Index 126.77 +.39%
  • Emerging Markets Currency Volatility(VXY) 8.65 -1.03%
  • S&P 500 Implied Correlation 43.54 +3.10%
  • ISE Sentiment Index 81.0 -42.96%
  • Total Put/Call .89 -2.2%
  • NYSE Arms .89 -43.1%
Credit Investor Angst:
  • North American Investment Grade CDS Index 64.20 +.90%
  • America Energy Sector High-Yield CDS Index 367.0 -.90%
  • European Financial Sector CDS Index 74.22 -1.38%
  • Western Europe Sovereign Debt CDS Index 9.17 -2.96%
  • Asia Pacific Sovereign Debt CDS Index 22.26 -1.24%
  • Emerging Market CDS Index 198.95 +.43%
  • iBoxx Offshore RMB China Corporate High Yield Index 137.16 unch.
  • 2-Year Swap Spread 31.25 +.75 basis point
  • TED Spread 37.25 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -33.5 -2.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.27 +.04%
  • 3-Month T-Bill Yield .80% unch.
  • Yield Curve 102.0 -2.0 basis opints
  • China Import Iron Ore Spot $68.80/Metric Tonne +3.58%
  • Citi US Economic Surprise Index -4.80 -8.7 points
  • Citi Eurozone Economic Surprise Index 70.40 +9.2 points
  • Citi Emerging Markets Economic Surprise Index 39.5 +.4 point
  • 10-Year TIPS Spread 1.94 +1.0 basis point
  • 69.7% chance of Fed rate hike at June 14 meeting, 72.0% chance at July 26 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +52 open in Japan 
  • China A50 Futures: Indicating +6 open in China
  • DAX Futures: Indicating +15 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my biotech/tech/medical sector longs 
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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