Friday, June 22, 2018

Stocks Higher into Final Hour on Less Emerging Markets Debt Angst, Oil Gain, Stable Long-Term Rates, Commodity/Restaurant Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Around Even
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 13.44 -8.2%
  • Euro/Yen Carry Return Index 133.43 +.49%
  • Emerging Markets Currency Volatility(VXY) 9.78 -.91%
  • S&P 500 Implied Correlation 34.12 -3.39%
  • ISE Sentiment Index 101.0 +5.21%
  • Total Put/Call .82 -18.81%
  • NYSE Arms .84 -22.4%
Credit Investor Angst:
  • North American Investment Grade CDS Index 64.49 -.11%
  • America Energy Sector High-Yield CDS Index 406.0 +1.56%
  • European Financial Sector CDS Index 82.21 -.58%
  • Italian/German 10Y Yld Spread 235.75 -4.0 basis points
  • Asia Pacific Sovereign Debt CDS Index 13.75 -1.15%
  • Emerging Market CDS Index 181.34 -3.47%
  • iBoxx Offshore RMB China Corporate High Yield Index 149.58 -.10%
  • 2-Year Swap Spread 26.5 unch.
  • TED Spread 42.0 +1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -5.0 -2.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 70.01 +.66%
  • 3-Month T-Bill Yield 1.90% -3.0 basis points
  • Yield Curve 35.75 +.25 basis point
  • China Iron Ore Spot 64.88 USD/Metric Tonne +1.28%
  • Citi US Economic Surprise Index 3.20 -5.4 points
  • Citi Eurozone Economic Surprise Index -68.10 +17.6 points
  • Citi Emerging Markets Economic Surprise Index -18.30 +.5 point
  • 10-Year TIPS Spread 2.13 -1.0 basis point
  • 78.3% chance of Fed rate hike at Sept. 26th meeting, 79.5% chance at November 8th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +64 open in Japan 
  • China A50 Futures: Indicating -42 open in China
  • DAX Futures: Indicating -7 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my retail sector longs and emerging market shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
  • Market Exposure: Moved to 75% Net Long

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