Friday, July 28, 2017

Stocks Slightly Lower into Final Hour on Diminished Healthcare/Tax Reform Hopes, Earnings Concerns, Yen Strength, Tobacco/Restaurant Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 10.82 +7.0%
  • Euro/Yen Carry Return Index 135.84 +.21%
  • Emerging Markets Currency Volatility(VXY) 7.52 +.4%
  • S&P 500 Implied Correlation 29.29 +4.5%
  • ISE Sentiment Index 99.0 +16.47%
  • Total Put/Call .78 -16.1%
  • NYSE Arms 1.64 +96.06%
Credit Investor Angst:
  • North American Investment Grade CDS Index 57.5 +1.17%
  • America Energy Sector High-Yield CDS Index 430.0 -.99%
  • European Financial Sector CDS Index 50.49 +1.25%
  • Western Europe Sovereign Debt CDS Index 4.52 +5.37%
  • Asia Pacific Sovereign Debt CDS Index 20.0 +.48%
  • Emerging Market CDS Index 191.39 -.18%
  • iBoxx Offshore RMB China Corporate High Yield Index 140.49 +.01%
  • 2-Year Swap Spread 24.5 unch.
  • TED Spread 23.5 +2.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -28.50 +.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 73.91 +.04%
  • 3-Month T-Bill Yield 1.08% -2.0 basis points
  • Yield Curve 94.0 -1.0 basis point
  • China Import Iron Ore Spot $68.73/Metric Tonne -2.09%
  • Citi US Economic Surprise Index -44.50 -.7 points
  • Citi Eurozone Economic Surprise Index 16.10 unch.
  • Citi Emerging Markets Economic Surprise Index 15.70 +1.2 basis points
  • 10-Year TIPS Spread 1.82 unch.
  • 19.5% chance of Fed rate hike at Nov. 1 meeting, 48.4% chance at Dec. 13 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +76 open in Japan 
  • China A50 Futures: Indicating +46 open in China
  • DAX Futures: Indicating -5 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech/biotech sector longs 
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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