Thursday, September 21, 2017

Stocks Lower into Final Hour on Fed Rate-Hike Worries, Geopolitical Concerns, Profit-Taking, Steel/Oil Service Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 9.71 -.72%
  • Euro/Yen Carry Return Index 140.0 +.61%
  • Emerging Markets Currency Volatility(VXY) 7.80 +1.56%
  • S&P 500 Implied Correlation 22.29 +1.32%
  • ISE Sentiment Index 52.0 -8.77%
  • Total Put/Call .80 -6.98%
  • NYSE Arms 1.11 +24.11%
Credit Investor Angst:
  • North American Investment Grade CDS Index 59.33 +1.09%
  • America Energy Sector High-Yield CDS Index 429.0 +4.67%
  • European Financial Sector CDS Index 57.62 +1.44%
  • Western Europe Sovereign Debt CDS Index 4.44 -.67%
  • Asia Pacific Sovereign Debt CDS Index 15.10 -3.14%
  • Emerging Market CDS Index 188.89 -.36%
  • iBoxx Offshore RMB China Corporate High Yield Index 141.85 +.13%
  • 2-Year Swap Spread 27.25 +1.5 basis points
  • TED Spread 30.25 +1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -25.5 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 74.42 -.13%
  • 3-Month T-Bill Yield 1.03% unch.
  • Yield Curve 84.0 +1.0 basis point
  • China Import Iron Ore Spot $66.09/Metric Tonne -5.11%
  • Citi US Economic Surprise Index -9.30 +8.1 points
  • Citi Eurozone Economic Surprise Index 21.20 -1.1 points
  • Citi Emerging Markets Economic Surprise Index 16.40 +.9 basis point
  • 10-Year TIPS Spread 1.84 -2.0 basis points
  • 72.2% chance of Fed rate hike at Dec. 13 meeting, 72.8% chance at Jan. 31 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -32 open in Japan 
  • China A50 Futures: Indicating -7 open in China
  • DAX Futures: Indicating -7 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my medical/tech sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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