Tuesday, October 23, 2018

Stocks Lower into Final Hour on Fed Rate-Hike Fears, Global Growth Worries, Earnings Jitters, Commodity/Transport Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Heavy
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 20.5 +4.5%
  • Euro/Yen Carry Return Index 134.14 -.26%
  • Emerging Markets Currency Volatility(VXY) 9.97 +2.26%
  • S&P 500 Implied Correlation 42.01 +1.0%
  • ISE Sentiment Index 80.0 -10.11%
  • Total Put/Call 1.09 +2.8%
  • NYSE Arms .85 -35.1%
Credit Investor Angst:
  • North American Investment Grade CDS Index 67.89 +.02%
  • America Energy Sector High-Yield CDS Index 431.0 +2.48%
  • European Financial Sector CDS Index 95.98 +5.32%
  • Italian/German 10Y Yld Spread 318.25 +14.0 basis points
  • Asia Pacific Sovereign Debt CDS Index 10.05 +2.45%
  • Emerging Market CDS Index 202.22 -.13%
  • iBoxx Offshore RMB China Corporate High Yield Index 150.09 -.15%
  • 2-Year Swap Spread 20.0 +.5 basis point
  • TED Spread 17.5 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -42.25 +.75 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 66.84 -.21%
  • 3-Month T-Bill Yield 2.33%+3.0 basis points
  • Yield Curve 29.5 +1.0 basis point
  • China Iron Ore Spot 71.37 USD/Metric Tonne -.24%
  • Citi US Economic Surprise Index -.2 +.3 point
  • Citi Eurozone Economic Surprise Index -27.8 +.4 point
  • Citi Emerging Markets Economic Surprise Index -3.4 +1.0 point
  • 10-Year TIPS Spread 2.09 -2.0 basis points
  • 76.6% chance of Fed rate hike at Dec. 19th meeting, 77.4% chance at Jan. 30th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +170 open in Japan 
  • China A50 Futures: Indicating +86 open in China
  • DAX Futures: Indicating +135 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my retail sector longs, index hedges and emerging market shorts
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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