Wednesday, February 21, 2018

Stocks Reversing Lower into Final Hour on Rising Long-Term Rates, US/European/Emerging Markets Debt Angst, Oil Decline, Food/REIT Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Above Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 18.52 -10.10%
  • Euro/Yen Carry Return Index 137.98 +.05%
  • Emerging Markets Currency Volatility(VXY) 8.48 -.24%
  • S&P 500 Implied Correlation 41.44 -1.1%
  • ISE Sentiment Index 131.0 +37.9%
  • Total Put/Call 1.02 +18.6%
  • NYSE Arms 1.75 +40.7%
Credit Investor Angst:
  • North American Investment Grade CDS Index 54.70 +1.25%
  • America Energy Sector High-Yield CDS Index 372.0 -2.14%
  • European Financial Sector CDS Index 52.84 -4.12%
  • Italian/German 10Y Yld Spread 132.75 -.75 basis point
  • Asia Pacific Sovereign Debt CDS Index 12.74 +1.15%
  • Emerging Market CDS Index 123.29 -.86%
  • iBoxx Offshore RMB China Corporate High Yield Index 147.37 +.09%
  • 2-Year Swap Spread 26.75 unch.
  • TED Spread 25.0-2.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -34.25 -1.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 75.45 -.17%
  • 3-Month T-Bill Yield 1.64% +4.0 basis points
  • Yield Curve 67.5 +1.25 basis points
  • China Iron Ore Spot 76.35 USD/Metric Tonne n/a
  • Citi US Economic Surprise Index 50.0 +1.2 points
  • Citi Eurozone Economic Surprise Index -.2 -23.8 points
  • Citi Emerging Markets Economic Surprise Index 5.30 +1.1 points
  • 10-Year TIPS Spread 2.13 +2.0 basis points
  • 100.0% chance of Fed rate hike at May 2 meeting, 100.0% chance at June 13 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +40 open in Japan 
  • China A50 Futures: Indicating +337 open in China
  • DAX Futures: Indicating -33 open in Germany
Portfolio: 
  • Slightly Higher: On gains 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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