Thursday, December 14, 2017

Stocks Reversing Lower into Final Hour on Tax Reform Worries, Profit-Taking, Yen Strength, Telecom/Retail Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 10.3 +1.4%
  • Euro/Yen Carry Return Index 137.86 -.63%
  • Emerging Markets Currency Volatility(VXY) 7.68 +.52%
  • S&P 500 Implied Correlation 37.47 +1.9%
  • ISE Sentiment Index 143.0 -12.8%
  • Total Put/Call .80 +6.67%
  • NYSE Arms 1.03 -21.82%
Credit Investor Angst:
  • North American Investment Grade CDS Index 50.72 +.84%
  • America Energy Sector High-Yield CDS Index 377.0 +.69%
  • European Financial Sector CDS Index 46.87 +1.60%
  • Western Europe Sovereign Debt CDS Index 3.33 -2.2%
  • Asia Pacific Sovereign Debt CDS Index 13.82 -.07%
  • Emerging Market CDS Index 126.49 +1.26%
  • iBoxx Offshore RMB China Corporate High Yield Index 145.54 +.01%
  • 2-Year Swap Spread 19.5 -1.25 basis point
  • TED Spread 25.75 +1.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -77.25 -10.5 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 73.06 -.21%
  • 3-Month T-Bill Yield 1.31% +1.0 basis point
  • Yield Curve 53.5 -3.75 basis points
  • China Iron Ore Spot 485.0 CNY/100 Metric Tonnes -1.12%
  • Citi US Economic Surprise Index 74.20 +10.8 points
  • Citi Eurozone Economic Surprise Index 72.0 +18.7 basis points
  • Citi Emerging Markets Economic Surprise Index 2.40 -.8 point
  • 10-Year TIPS Spread 1.89 unch.
  • 100.0% chance of Fed rate hike at Jan. 31 meeting, 100.0% chance at March 21 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -118 open in Japan 
  • China A50 Futures: Indicating +21 open in China
  • DAX Futures: Indicating -37 open in Germany
Portfolio: 
  • Lower: On losses in my retail/biotech sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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