Wednesday, June 27, 2018

Stocks Reversing Lower into Afternoon on Trade War Concerns, Emerging Markets Debt Angst, Technical Selling, Tech/Biotech Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Above Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 17.2 +8.5%
  • Euro/Yen Carry Return Index 132.90 -.36%
  • Emerging Markets Currency Volatility(VXY) 9.85 +3.9%
  • S&P 500 Implied Correlation 40.16 +6.8%
  • ISE Sentiment Index 83.0 -29.1%
  • Total Put/Call 1.06 +16.5%
  • NYSE Arms .89 -10.6%
Credit Investor Angst:
  • North American Investment Grade CDS Index 67.48 +2.29%
  • America Energy Sector High-Yield CDS Index 400.0 -1.06%
  • European Financial Sector CDS Index 88.92 +.77%
  • Italian/German 10Y Yld Spread 248.75 -6.0 basis points
  • Asia Pacific Sovereign Debt CDS Index 14.31 +1.78%
  • Emerging Market CDS Index 191.52 +3.48%
  • iBoxx Offshore RMB China Corporate High Yield Index 149.37 unch.
  • 2-Year Swap Spread 25.75 -.25 basis point
  • TED Spread 41.75 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -5.25 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.38 -.56%
  • 3-Month T-Bill Yield 1.92% unch.
  • Yield Curve 32.75 -2.25 basis points
  • China Iron Ore Spot 64.37 USD/Metric Tonne +.58%
  • Citi US Economic Surprise Index 1.10 -2.4 points
  • Citi Eurozone Economic Surprise Index -62.10 -3.1 points
  • Citi Emerging Markets Economic Surprise Index -12.50 -.5 point
  • 10-Year TIPS Spread 2.12 -1.0 basis point
  • 77.3% chance of Fed rate hike at Sept. 26th meeting, 78.5% chance at November 8th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -27 open in Japan 
  • China A50 Futures: Indicating -43 open in China
  • DAX Futures: Indicating -60 open in Germany
Portfolio: 
  • Higher: On gains in my industrial sector longs, index hedges and emerging market shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
  • Market Exposure: Moved to 25% Net Long

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