Friday, June 14, 2019

Stocks Lower into Afternoon on China Trade Deal Worries, Earnings Concerns, Emerging Markets Debt Angst, Energy/Tech Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Light
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 15.67 -.95%
  • Euro/Yen Carry Return Index 126.35 -.50%
  • Emerging Markets Currency Volatility(VXY) 8.43 +.72%
  • S&P 500 Implied Correlation 38.82 +.34%
  • ISE Sentiment Index 83.0 -6.74%
  • Total Put/Call 1.0 +12.4%
  • NYSE Arms 1.19 +60.8%
Credit Investor Angst:
  • North American Investment Grade CDS Index 61.39 +1.02%
  • America Energy Sector High-Yield CDS Index 628.0 -.43%
  • European Financial Sector CDS Index 78.68 -.13%
  • Italian/German 10Y Yld Spread 260.25 +.5 basis point
  • Asia Ex-Japan Investment Grade CDS Index 72.78 +.29%
  • Emerging Market CDS Index 194.18 +1.46%
  • iBoxx Offshore RMB China Corporate High Yield Index 163.61 +.02%
  • 2-Year Swap Spread 2.0 -.75 basis piont
  • TED Spread 27.0 +2.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -15.0 -1.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 66.36 -.32%
  • 3-Month T-Bill Yield 2.17% -1.0 basis point
  • Yield Curve 24.5 -1.75 basis points
  • China Iron Ore Spot 102.65 USD/Metric Tonne -2.28%
  • Citi US Economic Surprise Index -55.40 +4.3 points
  • Citi Eurozone Economic Surprise Index -19.4 +1.0 point
  • Citi Emerging Markets Economic Surprise Index -27.50 -3.8 points
  • 10-Year TIPS Spread 1.64 -5.0 basis points
  • 82.7% chance of Fed rate cut at July 31st meeting, 97.2% chance of cut at Sept. 18th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -36 open in Japan 
  • China A50 Futures: Indicating -128 open in China
  • DAX Futures: Indicating +3 open in Germany
Portfolio:
  • Slightly lower: On losses in my tech sector longs
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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