Wednesday, June 14, 2017

Stocks Finish Slightly Lower on More Hawkish Fed Commentary, Less Economic Optimism, Oil Decline, Commodity/Transport 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) 10.87 +4.32%
  • Euro/Yen Carry Return Index 128.26 -.4%
  • Emerging Markets Currency Volatility(VXY) 7.60 -.78%
  • S&P 500 Implied Correlation 37.72 -.95%
  • ISE Sentiment Index 85.0 -2.3%
  • Total Put/Call .85 -12.37%
  • NYSE Arms 1.92 +113.67%
Credit Investor Angst:
  • North American Investment Grade CDS Index 58.89 -.41%
  • America Energy Sector High-Yield CDS Index 412.0 +.58%
  • European Financial Sector CDS Index 61.59 -.86%
  • Western Europe Sovereign Debt CDS Index 7.07 +6.08%
  • Asia Pacific Sovereign Debt CDS Index 16.83 -3.61%
  • Emerging Market CDS Index 190.24 -.40%
  • iBoxx Offshore RMB China Corporate High Yield Index 139.15 +.07%
  • 2-Year Swap Spread 18.75 -1.25 basis points
  • TED Spread 24.5 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -33.5 -.75 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 73.50 +.21%
  • 3-Month T-Bill Yield 1.0% 1.0 basis point
  • Yield Curve 80.0 -5.0 basis points
  • China Import Iron Ore Spot $54.43/Metric Tonne +2.01%
  • Citi US Economic Surprise Index -57.30 -12.2 points
  • Citi Eurozone Economic Surprise Index 32.50 -.9 point
  • Citi Emerging Markets Economic Surprise Index 8.0 +2.0 points
  • 10-Year TIPS Spread 1.72 -5.0 basis points
  • 26.2% chance of Fed rate hike at Sept. 20 meeting, 29.3% chance at Nov. 1 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +12 open in Japan 
  • China A50 Futures: Indicating +2 open in China
  • DAX Futures: Indicating +29 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my medical/biotech sector longs 
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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