Monday, October 07, 2019

Stocks Slightly Lower into Final Hour on China Trade Tensions, Emerging Markets Debt Angst, Less Dovish FOMC Commentary, Metals & Mining/Gaming Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Slightly Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 17.6 +3.5%
  • Euro/Yen Carry Return Index 122.27 +.32%
  • Emerging Markets Currency Volatility(VXY) 8.12 +1.37%
  • S&P 500 Implied Correlation 42.54 +1.09%
  • ISE Sentiment Index 82.0 +12.3%
  • Total Put/Call .95 -5.34%
  • NYSE Arms 1.28 +39.1%
Credit Investor Angst:
  • North American Investment Grade CDS Index 60.78 -.11%
  • America Energy Sector High-Yield CDS Index 492.0 -.71%
  • European Financial Sector CDS Index 67.68 -.90%
  • Italian/German 10Y Yld Spread 142.75 +1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 78.47 -.63%
  • Emerging Market CDS Index 213.35 +1.87%
  • iBoxx Offshore RMB China Corporate High Yield Index 166.21 +.07%
  • 2-Year Swap Spread 2.75 unch.
  • TED Spread 34.0 -1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -23.75 +3.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 65.67 +.29%
  • 3-Month T-Bill Yield 1.70% +1.0 basis point
  • Yield Curve .13 +1.0 basis point
  • China Iron Ore Spot 88.60 USD/Metric Tonne +.12%
  • Citi US Economic Surprise Index 20.90 -2.3 points
  • Citi Eurozone Economic Surprise Index -77.70 -1.0 point
  • Citi Emerging Markets Economic Surprise Index -10.80 -1.4 points
  • 10-Year TIPS Spread 1.51 +1.0 basis point
  • 88.5% chance of Fed rate cut at Dec. 11th meeting, 95.1% chance of cut at Jan. 29th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +140 open in Japan 
  • China A50 Futures: Indicating -54 open in China
  • DAX Futures: Indicating -16 open in Germany
Portfolio:
  • Slightly Higher: On gains in my biotech/tech sector longs and emerging market shorts
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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