Friday, September 27, 2019

Stocks Reversing Sharply Lower into Final Hour on Rising China Trade Tensions, Global Growth Fears, Technical Selling, Tech/Alt Energy Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 17.9 +11.5%
  • Euro/Yen Carry Return Index 122.54 +.21%
  • Emerging Markets Currency Volatility(VXY) 8.12 -.25%
  • S&P 500 Implied Correlation 44.5 +8.5%
  • ISE Sentiment Index 82.0 +13.5%
  • Total Put/Call 1.05 +.96%
  • NYSE Arms 1.13 -14.4%
Credit Investor Angst:
  • North American Investment Grade CDS Index 61.56 +1.64%
  • America Energy Sector High-Yield CDS Index 424.0 -1.56%
  • European Financial Sector CDS Index 66.29 -1.68%
  • Italian/German 10Y Yld Spread 139.75 -1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 76.71 +.70%
  • Emerging Market CDS Index 211.63 +.13%
  • iBoxx Offshore RMB China Corporate High Yield Index 166.0 +.04%
  • 2-Year Swap Spread .75 +2.0 basis points
  • TED Spread 32.75 +8.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -31.75 -21.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 65.30 -.05%
  • 3-Month T-Bill Yield 1.78% -2.0 basis points
  • Yield Curve .03 +2.0 basis points
  • China Iron Ore Spot 87.51 USD/Metric Tonne -2.1%
  • Citi US Economic Surprise Index 44.30 -.6 point
  • Citi Eurozone Economic Surprise Index -74.90 -11.3 points
  • Citi Emerging Markets Economic Surprise Index -8.1 -.1 point
  • 10-Year TIPS Spread 1.54 -3.0 basis points
  • 74.7% chance of Fed rate cut at Dec. 11th meeting, 85.9% chance of cut at Jan. 29th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -158 open in Japan 
  • China A50 Futures: Indicating -193 open in China
  • DAX Futures: Indicating -85 open in Germany
Portfolio:
  • Slightly Lower: On losses in my biotech/industrial/medical/retail/tech 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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