Monday, June 12, 2017

Stocks Lower into Final Hour on Profit-Taking, Yen Strength, Fed Rate-Hike Worries, Tech/Restaurant Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Mixed
  • Volume: Heavy
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 11.52 +7.85%
  • Euro/Yen Carry Return Index 128.42 -.4%
  • Emerging Markets Currency Volatility(VXY) 7.77 -.77%
  • S&P 500 Implied Correlation 38.36 +.45%
  • ISE Sentiment Index 67.0 -19.28%
  • Total Put/Call .95 -10.38%
  • NYSE Arms .68 -18.56%
Credit Investor Angst:
  • North American Investment Grade CDS Index 60.25 -.86%
  • America Energy Sector High-Yield CDS Index 414.0 -1.27%
  • European Financial Sector CDS Index 63.99 -1.36%
  • Western Europe Sovereign Debt CDS Index 7.26 -3.72%
  • Asia Pacific Sovereign Debt CDS Index 17.68 -.56%
  • Emerging Market CDS Index 194.80 +.20%
  • iBoxx Offshore RMB China Corporate High Yield Index 139.01 +.11%
  • 2-Year Swap Spread 19.5 -1.25 basis points
  • TED Spread 23.5 +.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -33.5 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 73.25 -.04%
  • 3-Month T-Bill Yield 1.0% unch.
  • Yield Curve 86.0 -1.0 basis point
  • China Import Iron Ore Spot $54.87/Metric Tonne +.85%
  • Citi US Economic Surprise Index -45.30 -1.9 points
  • Citi Eurozone Economic Surprise Index 35.90 -3.2 points
  • Citi Emerging Markets Economic Surprise Index 6.0 -.9 point
  • 10-Year TIPS Spread 1.77 -3.0 basis points
  • 99.5% chance of Fed rate hike at July 26 meeting, 99.7% chance at Sept. 20 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -87 open in Japan 
  • China A50 Futures: Indicating -75 open in China
  • DAX Futures: Indicating +3 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my medical/tech/biotech sector longs 
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
  • Market Exposure: 50% Net Long

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