Tuesday, June 11, 2019

Stocks Reversing Slightly Lower into Final Hour on China Trade Deal Concerns, Technical Selling, Profit-Taking, Homebuilding/Defense Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 16.3 +2.51%
  • Euro/Yen Carry Return Index 127.74 +.23%
  • Emerging Markets Currency Volatility(VXY) 8.43 -.94%
  • S&P 500 Implied Correlation 39.96 +3.42%
  • ISE Sentiment Index 71.0 -19.3%
  • Total Put/Call .98 +25.6%
  • NYSE Arms .65 -.48%
Credit Investor Angst:
  • North American Investment Grade CDS Index 60.42 -.33%
  • America Energy Sector High-Yield CDS Index 615.0 -.63%
  • European Financial Sector CDS Index 77.39 +1.01%
  • Italian/German 10Y Yld Spread 262.5 +4.75 basis points
  • Asia Ex-Japan Investment Grade CDS Index 71.29 -2.4%
  • Emerging Market CDS Index 192.79 -.93%
  • iBoxx Offshore RMB China Corporate High Yield Index 163.64 +.09%
  • 2-Year Swap Spread 5.0 -1.5 basis points
  • TED Spread 19.75 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -11.5 +1.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 66.84 +.24%
  • 3-Month T-Bill Yield 2.24% -3.0 basis points
  • Yield Curve 22.0 -2.5 basis points
  • China Iron Ore Spot 102.36 USD/Metric Tonne +4.48%
  • Citi US Economic Surprise Index -52.20 +3.8 points
  • Citi Eurozone Economic Surprise Index -25.5 +1.2 points
  • Citi Emerging Markets Economic Surprise Index -28.40 unch.
  • 10-Year TIPS Spread 1.73 -1.0 basis point
  • 75.0% chance of Fed rate cut at July 31st meeting, 92.4% chance of cut at Sept. 18th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -49 open in Japan 
  • China A50 Futures: Indicating -100 open in China
  • DAX Futures: Indicating -27 open in Germany
Portfolio:
  • Slightly Higher: On gains in my retail sector longs and index hedges
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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