Friday, March 23, 2018

Stocks Falling into Final Hour on Trade War Fears, US High-Yield/European/Emerging Markets Debt Angst, Yen Strength, Tech/Financial Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 23.11 -.99%
  • Euro/Yen Carry Return Index 135.08 +.15%
  • Emerging Markets Currency Volatility(VXY) 7.80 +.13%
  • S&P 500 Implied Correlation 46.57 +1.73%
  • ISE Sentiment Index 66.0 -24.1%
  • Total Put/Call 1.53 +24.4%
  • NYSE Arms .81 -60.94%
Credit Investor Angst:
  • North American Investment Grade CDS Index 66.38 +3.01%
  • America Energy Sector High-Yield CDS Index 440.0 +1.49%
  • European Financial Sector CDS Index 67.94 +3.62%
  • Italian/German 10Y Yld Spread 135.75 +1.75 basis points
  • Asia Pacific Sovereign Debt CDS Index 13.52 +3.88%
  • Emerging Market CDS Index 146.02 +1.59%
  • iBoxx Offshore RMB China Corporate High Yield Index 148.56 +.01%
  • 2-Year Swap Spread 33.25 +1.25 basis points
  • TED Spread 56.5 +1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -10.0 -.75 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 75.09 +.16%
  • 3-Month T-Bill Yield 1.72% +1.0 basis point
  • Yield Curve 56.5 +2.0 basis points
  • China Iron Ore Spot 64.40 USD/Metric Tonne +1.0%
  • Citi US Economic Surprise Index 46.3 +6.9 points
  • Citi Eurozone Economic Surprise Index -57.90 unch.
  • Citi Emerging Markets Economic Surprise Index 35.40 -.4 point
  • 10-Year TIPS Spread 2.08 unch.
  • 80.9% chance of Fed rate hike at June 13 meeting, 81.7% chance at August 1 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -187 open in Japan 
  • China A50 Futures: Indicating -139 open in China
  • DAX Futures: Indicating -16 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my industrial/retail sector longs, index hedges and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 25% Net Long

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