Monday, June 18, 2018

Stocks Lower into Afternoon on Trade War Worries, Emerging Markets Debt Angst, Profit-Taking, Pharma/Homebuilding Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.78 +6.7%
  • Euro/Yen Carry Return Index 133.45 -.19%
  • Emerging Markets Currency Volatility(VXY) 9.90 +.71%
  • S&P 500 Implied Correlation 35.39 +2.08%
  • ISE Sentiment Index 47.0 -58.0%
  • Total Put/Call .93 unch.
  • NYSE Arms 1.07 -7.12%
Credit Investor Angst:
  • North American Investment Grade CDS Index 61.31 +1.22%
  • America Energy Sector High-Yield CDS Index 394.0 +3.02%
  • European Financial Sector CDS Index 78.56 +2.34%
  • Italian/German 10Y Yld Spread 215.5 -5.25 basis points
  • Asia Pacific Sovereign Debt CDS Index 13.21 +1.58%
  • Emerging Market CDS Index 198.80 +5.2%
  • iBoxx Offshore RMB China Corporate High Yield Index 149.95 +.06%
  • 2-Year Swap Spread 26.75 +.25 basis point
  • TED Spread 40.0 -1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -8.75 -5.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.71 -.31%
  • 3-Month T-Bill Yield 1.92% -1.0 basis point
  • Yield Curve 37.75 +.75 basis point
  • China Iron Ore Spot 65.86 USD/Metric Tonne unch.
  • Citi US Economic Surprise Index 12.20 -2.9 points
  • Citi Eurozone Economic Surprise Index -90.50 +6.7 points
  • Citi Emerging Markets Economic Surprise Index -21.90 +5.2 points
  • 10-Year TIPS Spread 2.13 +1.0 basis point
  • 84.5% chance of Fed rate hike at Sept. 26th meeting, 85.4% chance at November 8th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -45 open in Japan 
  • China A50 Futures: Indicating -172 open in China
  • DAX Futures: Indicating -29 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my retail sector longs, index hedges and emerging market shorts
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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