Friday, June 08, 2018

Stocks Slightly into Afternoon on Eurozone Debt Angst, Trade War Worries, Oil Decline, Energy/Airline Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: About Even
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.5 +3.3%
  • Euro/Yen Carry Return Index 133.98 -.55%
  • Emerging Markets Currency Volatility(VXY) 9.46 unch.
  • S&P 500 Implied Correlation 34.49 +.2%
  • ISE Sentiment Index 76.0 -15.5%
  • Total Put/Call .94 +3.3%
  • NYSE Arms .72 -27.8%
Credit Investor Angst:
  • North American Investment Grade CDS Index 66.99 +1.24%
  • America Energy Sector High-Yield CDS Index 375.0 +.23%
  • European Financial Sector CDS Index 90.40 +4.37%
  • Italian/German 10Y Yld Spread 267.75 +10.0 basis points
  • Asia Pacific Sovereign Debt CDS Index 13.05 +1.4%
  • Emerging Market CDS Index 178.60 +.99%
  • iBoxx Offshore RMB China Corporate High Yield Index 149.79 +.15%
  • 2-Year Swap Spread 27.25 -.25 basis point
  • TED Spread 40.0 +1.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -13.25 -2.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 70.92 +.01%
  • 3-Month T-Bill Yield 1.92% unch.
  • Yield Curve 43.25 -.5 basis point
  • China Iron Ore Spot 65.10 USD/Metric Tonne +.20%
  • Citi US Economic Surprise Index 10.20 -.3 point
  • Citi Eurozone Economic Surprise Index -100.10 -4.6 points
  • Citi Emerging Markets Economic Surprise Index -14.90 +.9 point
  • 10-Year TIPS Spread 2.13 -1.0 basis point
  • 100.0% chance of Fed rate hike at August 1 meeting, 100.0% chance at September 26 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -79 open in Japan 
  • China A50 Futures: Indicating -61 open in China
  • DAX Futures: Indicating +1 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech/medical/industrial sector longs
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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