Monday, June 25, 2018

Stocks Falling Substantially into Final Hour on Trade War Worries, European/Emerging Markets/US High-Yield Debt Angst, Oil Decline, Tech/Energy Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 18.1 +31.3%
  • Euro/Yen Carry Return Index 133.31 -.12%
  • Emerging Markets Currency Volatility(VXY) 9.63 -1.03%
  • S&P 500 Implied Correlation 41.2 +25.9%
  • ISE Sentiment Index 119.0 +.85%
  • Total Put/Call 1.11 +30.6%
  • NYSE Arms 1.19 +4.6%
Credit Investor Angst:
  • North American Investment Grade CDS Index 66.81 +3.33%
  • America Energy Sector High-Yield CDS Index 402.0 -1.17%
  • European Financial Sector CDS Index 87.67 +6.64%
  • Italian/German 10Y Yld Spread 249.75 +14.0 basis points
  • Asia Pacific Sovereign Debt CDS Index 14.04 +2.33%
  • Emerging Market CDS Index 188.81 +4.18%
  • iBoxx Offshore RMB China Corporate High Yield Index 149.50 -.05%
  • 2-Year Swap Spread 26.5 unch.
  • TED Spread 44.75 +2.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -4.75 +.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.82 -.35%
  • 3-Month T-Bill Yield 1.89% -1.0 basis point
  • Yield Curve 34.75 -1.0 basis point
  • China Iron Ore Spot 64.30 USD/Metric Tonne +.05%
  • Citi US Economic Surprise Index 3.30 +.1 point
  • Citi Eurozone Economic Surprise Index -66.0 +2.1 points
  • Citi Emerging Markets Economic Surprise Index -15.60 +2.7 points
  • 10-Year TIPS Spread 2.12 -1.0 basis point
  • 77.8% chance of Fed rate hike at Sept. 26th meeting, 79.0% chance at November 8th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -263 open in Japan 
  • China A50 Futures: Indicating -129 open in China
  • DAX Futures: Indicating -3 open in Germany
Portfolio: 
  • Lower: On losses in my retail/biotech/industrial/tech/medical sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges, then covered some of them
  • Market Exposure: 50% Net Long

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