Thursday, June 21, 2018

Stocks Falling into Final Hour on Trade War Worries, European/US High-Yield Debt Angst, Yen Strength, Commodity/Technology Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 14.29 +11.9%
  • Euro/Yen Carry Return Index 132.89 -.05%
  • Emerging Markets Currency Volatility(VXY) 10.04 +1.72%
  • S&P 500 Implied Correlation 35.48 +1.95%
  • ISE Sentiment Index 107.0 -7.76%
  • Total Put/Call .92 +4.55%
  • NYSE Arms .98 -7.53%
Credit Investor Angst:
  • North American Investment Grade CDS Index 64.65 +3.01%
  • America Energy Sector High-Yield CDS Index 398.0 +.78%
  • European Financial Sector CDS Index 82.69 +6.11%
  • Italian/German 10Y Yld Spread 239.75 +22.5 basis points
  • Asia Pacific Sovereign Debt CDS Index 13.91 +4.67%
  • Emerging Market CDS Index 187.03 -1.25%
  • iBoxx Offshore RMB China Corporate High Yield Index 149.72 -.03%
  • 2-Year Swap Spread 26.75 +.75 basis point
  • TED Spread 40.50 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -3.0 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.58 -.06%
  • 3-Month T-Bill Yield 1.93% unch.
  • Yield Curve 35.5 -1.25 basis points
  • China Iron Ore Spot 63.90 USD/Metric Tonne unch.
  • Citi US Economic Surprise Index 8.60 -1.5 points
  • Citi Eurozone Economic Surprise Index -85.70 +.6 point
  • Citi Emerging Markets Economic Surprise Index -18.80 +.2 point
  • 10-Year TIPS Spread 2.12 -1.0 basis point
  • 79.8% chance of Fed rate hike at Sept. 26th meeting, 80.9% chance at November 8th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -238 open in Japan 
  • China A50 Futures: Indicating -118 open in China
  • DAX Futures: Indicating -22 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my tech/biotech/industrial sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
  • Market Exposure: Moved to 50% Net Long

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