Wednesday, March 07, 2018

Stocks Lower into Final Hour on Trade War Fears, Oil Decline, US/European/Emerging Markets Debt Angst, Retail/Energy Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 18.36 unch.
  • Euro/Yen Carry Return Index 136.99 -.1%
  • Emerging Markets Currency Volatility(VXY) 7.91 -.63%
  • S&P 500 Implied Correlation 41.17 -4.88%
  • ISE Sentiment Index 89.0 -7.29%
  • Total Put/Call .97 +6.58%
  • NYSE Arms 1.66 +35.5%
Credit Investor Angst:
  • North American Investment Grade CDS Index 56.98 +1.61%
  • America Energy Sector High-Yield CDS Index 386.0 +1.58%
  • European Financial Sector CDS Index 52.87 +.36%
  • Italian/German 10Y Yld Spread 130.0 -2.25 basis points
  • Asia Pacific Sovereign Debt CDS Index 12.0 +1.36%
  • Emerging Market CDS Index 119.54 +.81%
  • iBoxx Offshore RMB China Corporate High Yield Index 148.03 +.02%
  • 2-Year Swap Spread 28.5 +.75 basis point
  • TED Spread 36.0 -1.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -30.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 75.51 -.15%
  • 3-Month T-Bill Yield 1.68% +2.0 basis points
  • Yield Curve 63.0 -.25 basis point
  • China Iron Ore Spot 72.20 USD/Metric Tonne -.28%
  • Citi US Economic Surprise Index 40.30 +2.2 points
  • Citi Eurozone Economic Surprise Index -8.0 -.8 point
  • Citi Emerging Markets Economic Surprise Index 12.30 -.2 point
  • 10-Year TIPS Spread 2.13 unch.
  • 100.0% chance of Fed rate hike at May 2 meeting, 100.0% chance at June 13 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +32 open in Japan 
  • China A50 Futures: Indicating +47 open in China
  • DAX Futures: Indicating +7 open in Germany
Portfolio: 
  • Higher: On gains in my medical/biotech/tech sector longs and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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