Friday, September 14, 2018

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

 Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Around Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 12.12 -2.02%
  • Euro/Yen Carry Return Index 135.50 -.44%
  • Emerging Markets Currency Volatility(VXY) 11.97 -1.4%
  • S&P 500 Implied Correlation 34.81 -1.89%
  • ISE Sentiment Index 116.0 +18.4%
  • Total Put/Call .77 -8.3%
  • NYSE Arms .91 -15.1%
Credit Investor Angst:
  • North American Investment Grade CDS Index 55.58 -.53%
  • America Energy Sector High-Yield CDS Index 400.0 -.41%
  • European Financial Sector CDS Index 68.53 +.81%
  • Italian/German 10Y Yld Spread 253.25 +.5 basis point
  • Asia Pacific Sovereign Debt CDS Index 12.1 -.90%
  • Emerging Market CDS Index 206.66 -2.0%
  • iBoxx Offshore RMB China Corporate High Yield Index 151.18 -.11%
  • 2-Year Swap Spread 17.75 -.25 basis point
  • TED Spread 20.0 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -14.0 -1.5 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 66.0 -.23%
  • 3-Month T-Bill Yield 2.15% +1.0 basis point
  • Yield Curve 21.0 -.25 basis point
  • China Iron Ore Spot 68.92 USD/Metric Tonne +.39%
  • Citi US Economic Surprise Index -8.5 +1.6 points
  • Citi Eurozone Economic Surprise Index -13.60 -.6 point
  • Citi Emerging Markets Economic Surprise Index -10.60 -2.9 points
  • 10-Year TIPS Spread 2.11 +1.0 basis point
  • 97.6% chance of Fed rate hike at Nov. 8th meeting, 99.4% chance at Dec. 19th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +16 open in Japan 
  • China A50 Futures: Indicating -109 open in China
  • DAX Futures: Indicating -17 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech/industrial/medical sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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