Thursday, September 07, 2017

Stocks Slightly Lower into Final Hour on Hurricane Irma Concerns, Diminishing Financial De-Regulation Hopes, Earnings Outlooks, Insurance/Financial Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: About Even
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 11.59 -.34%
  • Euro/Yen Carry Return Index 135.96 +.15%
  • Emerging Markets Currency Volatility(VXY) 7.72 unch.
  • S&P 500 Implied Correlation 33.99 -3.86%
  • ISE Sentiment Index 86.0 -16.5%
  • Total Put/Call 1.13 +21.5%
  • NYSE Arms .98 +28.14%
Credit Investor Angst:
  • North American Investment Grade CDS Index 59.07 +.19%
  • America Energy Sector High-Yield CDS Index 446.0 -1.13%
  • European Financial Sector CDS Index 51.25 -.51%
  • Western Europe Sovereign Debt CDS Index 5.77 +6.16%
  • Asia Pacific Sovereign Debt CDS Index 20.36 +1.09%
  • Emerging Market CDS Index 176.06 -.64%
  • iBoxx Offshore RMB China Corporate High Yield Index 141.45 +.04%
  • 2-Year Swap Spread 23.75 +1.0 basis point
  • TED Spread 27.75 +1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -22.25 +1.5 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 75.24 +.44%
  • 3-Month T-Bill Yield 1.04% -2.0 basis points
  • Yield Curve 78.0 -2.0 basis points
  • China Import Iron Ore Spot $78.39/Metric Tonne n/a
  • Citi US Economic Surprise Index -25.30 -6.5 points
  • Citi Eurozone Economic Surprise Index 20.40 -1.5 points
  • Citi Emerging Markets Economic Surprise Index 23.80 -.1 basis point
  • 10-Year TIPS Spread 1.79 unch.
  • 12.0% chance of Fed rate hike at Nov. 1 meeting, 34.9% chance at Dec. 13 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -66 open in Japan 
  • China A50 Futures: Indicating +16 open in China
  • DAX Futures: Indicating +19 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech/medical/retail sector longs 
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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