Monday, September 17, 2018

Stocks Lower into Final Hour on Trade War Fears, Emerging Markets Currency/Debt Angst, Profit-Taking, Tech/Biotech Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 12.91 +7.0%
  • Euro/Yen Carry Return Index 136.15 +.51%
  • Emerging Markets Currency Volatility(VXY) 11.94 +.42%
  • S&P 500 Implied Correlation 34.87 +.96%
  • ISE Sentiment Index 83.0 -28.45%
  • Total Put/Call .89 +8.54%
  • NYSE Arms .66 -27.77%
Credit Investor Angst:
  • North American Investment Grade CDS Index 56.14 +.71%
  • America Energy Sector High-Yield CDS Index 400.0 -.35%
  • European Financial Sector CDS Index 67.99 -.79%
  • Italian/German 10Y Yld Spread 238.75 -14.5 basis points
  • Asia Pacific Sovereign Debt CDS Index 12.24 +1.16%
  • Emerging Market CDS Index 204.54 -.82%
  • iBoxx Offshore RMB China Corporate High Yield Index 151.14 -.03%
  • 2-Year Swap Spread 16.75 -1.0 basis point
  • TED Spread 19.0 -1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -12.25 +1.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 65.90 -.14%
  • 3-Month T-Bill Yield 2.15% unch.
  • Yield Curve 21.75 +.75 basis point
  • China Iron Ore Spot 68.72 USD/Metric Tonne -.09%
  • Citi US Economic Surprise Index -16.3 -8.0 points
  • Citi Eurozone Economic Surprise Index -9.40 +4.2 points
  • Citi Emerging Markets Economic Surprise Index -16.30 -8.0 points
  • 10-Year TIPS Spread 2.11 unch.
  • 99.8% chance of Fed rate hike at Nov. 8th meeting, 100.0% chance at Dec. 19th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +101 open in Japan 
  • China A50 Futures: Indicating +28 open in China
  • DAX Futures: Indicating -89 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my tech/biotech/retail sector longs
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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