Tuesday, June 20, 2017

Stocks Lower into Final Hour on Emerging Markets Debt Angst, Less Economic Optimism, Oil Decline, Retail/Transport Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 10.48 +1.06%
  • Euro/Yen Carry Return Index 129.45 -.23%
  • Emerging Markets Currency Volatility(VXY) 7.55 +.67%
  • S&P 500 Implied Correlation 36.92 +2.6%
  • ISE Sentiment Index 48.0 +4.35%
  • Total Put/Call .85 +6.25%
  • NYSE Arms 1.42 +60.0%
Credit Investor Angst:
  • North American Investment Grade CDS Index 61.16 +1.38%
  • America Energy Sector High-Yield CDS Index 437.0 +2.79%
  • European Financial Sector CDS Index 61.29 +1.63%
  • Western Europe Sovereign Debt CDS Index 6.58 -.08%
  • Asia Pacific Sovereign Debt CDS Index 17.64 +.91%
  • Emerging Market CDS Index 201.08 +2.64%
  • iBoxx Offshore RMB China Corporate High Yield Index 139.37 +.08%
  • 2-Year Swap Spread 20.25 +.25 basis point
  • TED Spread 26.25 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -32.75 -.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.46 -.66%
  • 3-Month T-Bill Yield 1.01% +1.0 basis point
  • Yield Curve 81.0 -2.0 basis points
  • China Import Iron Ore Spot $56.45/Metric Tonne +.27%
  • Citi US Economic Surprise Index -77.20 +.3 point
  • Citi Eurozone Economic Surprise Index 22.80 -2.8 points
  • Citi Emerging Markets Economic Surprise Index 9.4 -.3 point
  • 10-Year TIPS Spread 1.67 -2.0 basis points
  • 26.1% chance of Fed rate hike at Sept. 20 meeting, 27.6% chance at Nov. 1 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -30 open in Japan 
  • China A50 Futures: Indicating -29 open in China
  • DAX Futures: Indicating -7 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my retail/tech sector longs 
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
  • Market Exposure: Moved to 75% Net Long

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