Wednesday, November 14, 2018

Stocks Lower into Final Hour on Fed Rate-Hike Fears, Global Growth Worries, European/US High-Yield Debt Angst, Biotech/Utility Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Heavy
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 20.55 +2.7%
  • Euro/Yen Carry Return Index 133.85 +.19%
  • Emerging Markets Currency Volatility(VXY) 10.12 -.30%
  • S&P 500 Implied Correlation 42.55 +.05%
  • ISE Sentiment Index 77.0 -2.53%
  • Total Put/Call 1.24 +26.5%
  • NYSE Arms .84 -13.4%
Credit Investor Angst:
  • North American Investment Grade CDS Index 71.15 +3.13%
  • America Energy Sector High-Yield CDS Index 638.0 +4.68%
  • European Financial Sector CDS Index 91.43 +2.72%
  • Italian/German 10Y Yld Spread 309.25 +5.5 basis points
  • Asia Pacific Sovereign Debt CDS Index 10.04 +2.76%
  • Emerging Market CDS Index 198.54 -.29%
  • iBoxx Offshore RMB China Corporate High Yield Index 146.53 -1.07%
  • 2-Year Swap Spread 19.0 +.5 basis point
  • TED Spread 25.25 -3.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -44.5 +3.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 66.60 +.36%
  • 3-Month T-Bill Yield 2.37% +3.0 basis points
  • Yield Curve 25.75 +.75 basis point
  • China Iron Ore Spot 71.40 USD/Metric Tonne -.46%
  • Citi US Economic Surprise Index 10.60 +.2 point
  • Citi Eurozone Economic Surprise Index -56.0 -.8 point
  • Citi Emerging Markets Economic Surprise Index -5.10 +1.1 points
  • 10-Year TIPS Spread 2.02 +1.0 basis point
  • 74.6% chance of Fed rate hike at Jan. 30th meeting, 91.1% chance at March 20th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +4 open in Japan 
  • China A50 Futures: Indicating +41 open in China
  • DAX Futures: Indicating +41 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my retail/biotech sector longs and emerging market shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
  • Market Exposure: Moved to 75% Net Long

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