Thursday, July 06, 2017

Stocks Lower into Final Hour on Rising Long-Term Rates, Earnings Concerns, European/Emerging Markets/US High-Yield Debt Angst, Healthcare/Retail Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.44 +12.4%
  • Euro/Yen Carry Return Index 134.94 +.57%
  • Emerging Markets Currency Volatility(VXY) 7.96 +1.02%
  • S&P 500 Implied Correlation 36.58 +4.0%
  • ISE Sentiment Index 79.0 -30.7%
  • Total Put/Call 1.13 +22.8%
  • NYSE Arms 1.45 +27.56%
Credit Investor Angst:
  • North American Investment Grade CDS Index 62.0 +1.77%
  • America Energy Sector High-Yield CDS Index 460.0 +.21%
  • European Financial Sector CDS Index 53.46 +.72%
  • Western Europe Sovereign Debt CDS Index 6.20 +7.5%
  • Asia Pacific Sovereign Debt CDS Index 22.25 -.27%
  • Emerging Market CDS Index 209.12 +1.57%
  • iBoxx Offshore RMB China Corporate High Yield Index 139.80 +.04%
  • 2-Year Swap Spread 24.75 +.75 basis point
  • TED Spread 26.50 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -27.0 +.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.35 -.07%
  • 3-Month T-Bill Yield 1.03% -1.0 basis point
  • Yield Curve 97.0 +5.0 basis points
  • China Import Iron Ore Spot $61.96/Metric Tonne -2.09%
  • Citi US Economic Surprise Index -63.40 -.3 point
  • Citi Eurozone Economic Surprise Index 36.30 -2.1 points
  • Citi Emerging Markets Economic Surprise Index 15.60 +.4 point
  • 10-Year TIPS Spread 1.77 unch.
  • 31.4% chance of Fed rate hike at Sept. 20 meeting, 32.8% chance at Nov. 1 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -54 open in Japan 
  • China A50 Futures: Indicating -99 open in China
  • DAX Futures: Indicating -27 open in Germany
Portfolio: 
  • Lower: On losses in my biotech/tech/medical/retail sector longs 
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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