Wednesday, October 24, 2018

Stocks Plunging into Final Hour on Fed Rate-Hike Fears, Global Growth Worries, Technical Selling, Biotech/Tech Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Heavy
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 23.4 +13.0%
  • Euro/Yen Carry Return Index 133.03 -.81%
  • Emerging Markets Currency Volatility(VXY) 9.86 -1.0%
  • S&P 500 Implied Correlation 44.07 +6.78%
  • ISE Sentiment Index 71.0 -14.5%
  • Total Put/Call 1.13 +8.65%
  • NYSE Arms 1.96 +120.2%
Credit Investor Angst:
  • North American Investment Grade CDS Index 70.0 +3.18%
  • America Energy Sector High-Yield CDS Index 442.0 +2.93%
  • European Financial Sector CDS Index 97.16 +1.23%
  • Italian/German 10Y Yld Spread 321.0 +2.75 basis points
  • Asia Pacific Sovereign Debt CDS Index 10.17 +1.96%
  • Emerging Market CDS Index 204.93 +1.24%
  • iBoxx Offshore RMB China Corporate High Yield Index 150.02 -.05%
  • 2-Year Swap Spread 20.25 +.25 basis point
  • TED Spread 16.5 -1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -39.75 -2.5 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 66.48 -.67%
  • 3-Month T-Bill Yield 2.33% unch.
  • Yield Curve 26.75 -2.75 basis points
  • China Iron Ore Spot 72.54 USD/Metric Tonne -.67%
  • Citi US Economic Surprise Index -4.3 -4.1 points
  • Citi Eurozone Economic Surprise Index -43.3 -15.5 points
  • Citi Emerging Markets Economic Surprise Index -3.8 -.4 point
  • 10-Year TIPS Spread 2.07 -2.0 basis points
  • 69.0% chance of Fed rate hike at Dec. 19th meeting, 70.1% chance at Jan. 30th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -540 open in Japan 
  • China A50 Futures: Indicating -98 open in China
  • DAX Futures: Indicating -106 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my index hedges and emerging market shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
  • Market Exposure: Moved to 25% Net Long

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