Thursday, June 07, 2018

Stocks Modestly Lower into Final Hour on European/Emerging Markets Debt Angst, Trade War Worries, Profit-Taking, Tech/Gaming Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.5 +7.3%
  • Euro/Yen Carry Return Index 134.80 -.2%
  • Emerging Markets Currency Volatility(VXY) 9.40 +2.29%
  • S&P 500 Implied Correlation 34.1 +5.4%
  • ISE Sentiment Index 88.0 -31.3%
  • Total Put/Call .92 +13.6%
  • NYSE Arms 1.07 +54.2%
Credit Investor Angst:
  • North American Investment Grade CDS Index 66.45 +4.2%
  • America Energy Sector High-Yield CDS Index 374.0 +.95%
  • European Financial Sector CDS Index 86.64 +5.24%
  • Italian/German 10Y Yld Spread 257.75 +10.25 basis points
  • Asia Pacific Sovereign Debt CDS Index 12.86 -.85%
  • Emerging Market CDS Index 176.87 +3.19%
  • iBoxx Offshore RMB China Corporate High Yield Index 149.57 -.09%
  • 2-Year Swap Spread 27.50 +.5 basis point
  • TED Spread 38.25 +1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -11.50 -.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 70.89 -.38%
  • 3-Month T-Bill Yield 1.92% -2.0 basis points
  • Yield Curve 43.75 -1.75 basis points
  • China Iron Ore Spot 65.02 USD/Metric Tonne -.55%
  • Citi US Economic Surprise Index 10.50 -.5 point
  • Citi Eurozone Economic Surprise Index -95.50 -7.6 points
  • Citi Emerging Markets Economic Surprise Index -15.80 unch.
  • 10-Year TIPS Spread 2.14 -2.0 basis points
  • 100.0% chance of Fed rate hike at August 1 meeting, 100.0% chance at September 26 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -128 open in Japan 
  • China A50 Futures: Indicating -109 open in China
  • DAX Futures: Indicating -93 open in Germany
Portfolio: 
  • Lower: On losses in my tech/medical/biotech sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

No comments: