Thursday, October 11, 2018

Stocks Substantially Lower into Final Hour on Fed Rate-Hike Fears, Oil Decline, Technical Selling, Energy/Telecom Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Heavy
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 23.6 +2.8%
  • Euro/Yen Carry Return Index 135.08 +.43%
  • Emerging Markets Currency Volatility(VXY) 10.75 +.75%
  • S&P 500 Implied Correlation 41.71 -.71%
  • ISE Sentiment Index 54.0 -26.0%
  • Total Put/Call 1.17 unch.
  • NYSE Arms 1.04 -25.7%
Credit Investor Angst:
  • North American Investment Grade CDS Index 65.99 +1.55%
  • America Energy Sector High-Yield CDS Index 404.0 +2.28%
  • European Financial Sector CDS Index 92.86 +4.6%
  • Italian/German 10Y Yld Spread 304.5 +9.25 basis points
  • Asia Pacific Sovereign Debt CDS Index 10.13 +1.35%
  • Emerging Market CDS Index 208.50 -2.93%
  • iBoxx Offshore RMB China Corporate High Yield Index 150.54 +.05%
  • 2-Year Swap Spread 19.5 +1.5 basis points
  • TED Spread 15.75 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -43.25 -2.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 66.49 +.59%
  • 3-Month T-Bill Yield 2.26% -1.0 basis point
  • Yield Curve 29.75 -5.0 basis points
  • China Iron Ore Spot 69.35 USD/Metric Tonne -.03%
  • Citi US Economic Surprise Index -.7 -7.8 points
  • Citi Eurozone Economic Surprise Index -27.8 +.4 point
  • Citi Emerging Markets Economic Surprise Index -8.1 +2.5 points
  • 10-Year TIPS Spread 2.12 -4.0 basis points
  • 72.7% chance of Fed rate hike at Dec. 19th meeting, 74.1% chance at Jan. 30th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -200 open in Japan 
  • China A50 Futures: Indicating +12 open in China
  • DAX Futures: Indicating -90 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my index hedges and emerging market shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
  • Market Exposure: Moved to 50% Net Long

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