Wednesday, April 11, 2018

Stocks Lower into Final Hour on Geopolitical Tensions, Mueller Probe Worries, Yen Strength, Financial/Gaming Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 19.9 -2.6%
  • Euro/Yen Carry Return Index 137.68 -.18%
  • Emerging Markets Currency Volatility(VXY) 8.47 unch.
  • S&P 500 Implied Correlation 48.7 -2.2%
  • ISE Sentiment Index 116.0 unch.
  • Total Put/Call .94 +10.6%
  • NYSE Arms .95 +98.7%
Credit Investor Angst:
  • North American Investment Grade CDS Index 62.71 -.95%
  • America Energy Sector High-Yield CDS Index 437.0 -3.51%
  • European Financial Sector CDS Index 60.40 -.13%
  • Italian/German 10Y Yld Spread 130.50 +2.5 basis points
  • Asia Pacific Sovereign Debt CDS Index 12.44 +1.93%
  • Emerging Market CDS Index 140.37 -.02%
  • iBoxx Offshore RMB China Corporate High Yield Index 148.87 +.03%
  • 2-Year Swap Spread 29.5 -1.25 basis points
  • TED Spread 61.0 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -5.0 -1.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 74.62 +.23%
  • 3-Month T-Bill Yield 1.73% +1.0 basis point
  • Yield Curve 48.0 -.75 basis point
  • China Iron Ore Spot 65.20 USD/Metric Tonne +1.56%
  • Citi US Economic Surprise Index 31.30 -1.5 points
  • Citi Eurozone Economic Surprise Index -88.20 +.8 point
  • Citi Emerging Markets Economic Surprise Index 19.10 -3.0 points
  • 10-Year TIPS Spread 2.11 +2.0 basis points
  • 84.3% chance of Fed rate hike at June 13 meeting, 85.2% chance at August 1 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +43 open in Japan 
  • China A50 Futures: Indicating +27 open in China
  • DAX Futures: Indicating -4 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my biotech/tech sector longs
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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