Friday, December 21, 2018

Stocks Reversing Sharply Lower into Final Hour on Fed Policy Mistake Worries, Govt Shutdown Fears, Global Growth Concerns, Tech/Biotech 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) 28.4 +.2%
  • Euro/Yen Carry Return Index 131.58 -.64%
  • Emerging Markets Currency Volatility(VXY) 9.56 +.31%
  • S&P 500 Implied Correlation 48.85 -.47%
  • ISE Sentiment Index 48.0 -22.6%
  • Total Put/Call 1.37 -25.5%
  • NYSE Arms 1.15 +5.5%
Credit Investor Angst:
  • North American Investment Grade CDS Index 90.51 +1.44%
  • America Energy Sector High-Yield CDS Index 789.0 +4.02%
  • European Financial Sector CDS Index 111.01 +2.58%
  • Italian/German 10Y Yld Spread 258.0 +7.0 basis points
  • Asia Pacific Sovereign Debt CDS Index 11.62 +.2%
  • Emerging Market CDS Index 210.77 +2.9%
  • iBoxx Offshore RMB China Corporate High Yield Index 150.86 -.15%
  • 2-Year Swap Spread 15.25 +.5 basis point
  • TED Spread 42.25 +1.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -1.75 +1.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 66.60 -.63%
  • 3-Month T-Bill Yield 2.38% unch.
  • Yield Curve 15.25 +3.25 basis points
  • China Iron Ore Spot 69.30 USD/Metric Tonne -1.8%
  • Citi US Economic Surprise Index -16.3 -5.7 points
  • Citi Eurozone Economic Surprise Index -77.50 -2.9 points
  • Citi Emerging Markets Economic Surprise Index -3.9 -.2 point
  • 10-Year TIPS Spread 1.78 +2.0 basis points
  • 20.3% chance of Fed rate hike at March 20th meeting, 26.8% chance at May 1st meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -251 open in Japan 
  • China A50 Futures: Indicating -99 open in China
  • DAX Futures: Indicating -80 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my tech/biotech/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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