Tuesday, December 04, 2018

Stocks Plunging into Final Hour on Global Growth Fears, Trade War Worries, European/Emerging Market/US High-Yield Debt Angst, Transport/Financial Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Above Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 20.3 +23.3%
  • Euro/Yen Carry Return Index 133.0 -.83%
  • Emerging Markets Currency Volatility(VXY) 9.96 +2.57%
  • S&P 500 Implied Correlation 45.22 +8.5%
  • ISE Sentiment Index 70.0 -42.6%
  • Total Put/Call .90 +18.4%
  • NYSE Arms 2.32 +166.6%
Credit Investor Angst:
  • North American Investment Grade CDS Index 78.0 +4.05%
  • America Energy Sector High-Yield CDS Index 659.0 -.86%
  • European Financial Sector CDS Index 106.32 +4.86%
  • Italian/German 10Y Yld Spread 289.25 +5.25 basis points
  • Asia Pacific Sovereign Debt CDS Index 9.45 +1.40%
  • Emerging Market CDS Index 208.04 +3.31%
  • iBoxx Offshore RMB China Corporate High Yield Index 146.75 +.17%
  • 2-Year Swap Spread 16.25 -1.25 basis points
  • TED Spread 35.5 -4.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -23.0 +1.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 67.18 -.46%
  • 3-Month T-Bill Yield 2.41% +8.0 basis points
  • Yield Curve 11.0 -4.75 basis points
  • China Iron Ore Spot 65.56 USD/Metric Tonne +.43%
  • Citi US Economic Surprise Index -3.1 -.3 point
  • Citi Eurozone Economic Surprise Index -55.90 +1.7 points
  • Citi Emerging Markets Economic Surprise Index -5.5 -1.1 points
  • 10-Year TIPS Spread 1.94 -3.0 basis points
  • 75.5% chance of Fed rate hike at Jan. 30th meeting, 87.1% chance at March 20th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -356 open in Japan 
  • China A50 Futures: Indicating -111 open in China
  • DAX Futures: Indicating -155 open in Germany
Portfolio: 
  • Lower: On losses in my biotech/industrial/tech/medical/retail sector longs
  • 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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