Wednesday, June 13, 2018

Stocks Slightly Lower into Final Hour on Higher Long-Term Rates, FOMC Commentary, Emerging Markets Debt Angst, Homebuilding/REIT Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Mixed
  • Volume: Above Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 12.73 +3.16%
  • Euro/Yen Carry Return Index 135.33 +.38%
  • Emerging Markets Currency Volatility(VXY) 9.60 +.42%
  • S&P 500 Implied Correlation 35.31 +4.1%
  • ISE Sentiment Index 73.0 -42.9%
  • Total Put/Call .71 unch.
  • NYSE Arms 1.06 +24.3%
Credit Investor Angst:
  • North American Investment Grade CDS Index 63.51 -.68%
  • America Energy Sector High-Yield CDS Index 377.0 -.28%
  • European Financial Sector CDS Index 81.18 -3.49%
  • Italian/German 10Y Yld Spread 232.50 -4.5 basis points
  • Asia Pacific Sovereign Debt CDS Index 12.80 +1.59%
  • Emerging Market CDS Index 186.17 +1.09%
  • iBoxx Offshore RMB China Corporate High Yield Index 149.79 -.01%
  • 2-Year Swap Spread 26.5 unch.
  • TED Spread 40.75 +1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -6.5 +3.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 70.57 -.01%
  • 3-Month T-Bill Yield 1.93% +1.0 basis point
  • Yield Curve 40.0 -2.0 basis points
  • China Iron Ore Spot 65.87 USD/Metric Tonne +.26%
  • Citi US Economic Surprise Index 9.60 -1.6 points
  • Citi Eurozone Economic Surprise Index -100.30 -.5 point
  • Citi Emerging Markets Economic Surprise Index -17.0 +.7 point
  • 10-Year TIPS Spread 2.14 unch.
  • 82.9% chance of Fed rate hike at Sept. 26th meeting, 83.8% chance at November 8th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -41 open in Japan 
  • China A50 Futures: Indicating -64 open in China
  • DAX Futures: Indicating +1 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech sector longs and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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