Tuesday, February 20, 2018

Stocks Lower into Final Hour on Russia Probe Worries, Earnings Jitters, US/European/Emerging Markets Debt Angst, Road & Rail/Metals & Mining Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Around Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 20.27 +4.16%
  • Euro/Yen Carry Return Index 137.81 +.05%
  • Emerging Markets Currency Volatility(VXY) 8.55 -.23%
  • S&P 500 Implied Correlation 42.15 -.64%
  • ISE Sentiment Index 106.0 +15.22%
  • Total Put/Call .82 -10.87%
  • NYSE Arms 1.13 -.97%
Credit Investor Angst:
  • North American Investment Grade CDS Index 53.76 +4.43%
  • America Energy Sector High-Yield CDS Index 381.0 +.15%
  • European Financial Sector CDS Index 54.52 +5.19%
  • Italian/German 10Y Yld Spread 133.50 +5.5 basis points
  • Asia Pacific Sovereign Debt CDS Index 12.59 +1.61%
  • Emerging Market CDS Index 124.64 +3.86%
  • iBoxx Offshore RMB China Corporate High Yield Index 147.23 -.39%
  • 2-Year Swap Spread 26.75 -.25 basis point
  • TED Spread 27.75 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -33.0 -.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 75.56 -.56%
  • 3-Month T-Bill Yield 1.60% unch.
  • Yield Curve 66.25 -2.25 basis points
  • China Iron Ore Spot 76.35 USD/Metric Tonne n/a
  • Citi US Economic Surprise Index 48.80 -1.4 points
  • Citi Eurozone Economic Surprise Index 23.60 -12.1 points
  • Citi Emerging Markets Economic Surprise Index 4.20 +1.7 points
  • 10-Year TIPS Spread 2.11 +1.0 basis point
  • 100.0% chance of Fed rate hike at May 2 meeting, 100.0% chance at June 13 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -59 open in Japan 
  • China A50 Futures: Indicating +177 open in China
  • DAX Futures: Indicating -49 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my retail/medical/biotech sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
  • Market Exposure: Moved to 50% Net Long

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