Friday, March 02, 2018

Morning Market Internals

NYSE Composite Index:

Thursday, March 01, 2018

Friday Watch

Night Trading 
  • Asian equity indices are -1.75% to -.75% on average.
  • Asia Ex-Japan Investment Grade CDS Index 69.50 +1.0 basis point
  • Asia Pacific Sovereign CDS Index 12.0 unch.
  • Bloomberg Emerging Markets Currency Index 75.22 -.01%.
  • FTSE 100 futures -.63%.
  • S&P 500 futures -.17%.
  • NASDAQ 100 futures -.11%.
Morning Preview Links

Earnings of Note
Company/Estimate
  • (FL)/1.25
  • (JCP)/.47
  • (JD)/.42
  • (KVHI)/.11
  • (ZEUS)/.11
Economic Releases
10:00 am EST
  • Final Univ. of Mich. Consumer Sentiment for February is estimated to fall to 99.5 versus a prior estimate of 99.9.
Upcoming Splits
  • None of note
Other Potential Market Movers
  • The Eurozone PPI report, BofA Merrill Refining Conference, (GRA) Investor Day and the (ETN) Investor Conference could also impact trading today.
BOTTOM LINE:  Asian indices are lower, weighed down by industrial and technology shares in the region. I expect US stocks to open mixed and to weaken into the afternoon, finishing modestly lower.  The Portfolio is 25% net long heading into the day.

Stocks Reversing Sharply Lower into Final Hour on Trade War Fears, Yen Strength, Technical Selling, Medical/Gaming Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Heavy
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 24.4 +22.8%
  • Euro/Yen Carry Return Index 135.46 -.02%
  • Emerging Markets Currency Volatility(VXY) 8.23 +2.24%
  • S&P 500 Implied Correlation 42.94 +1.9%
  • ISE Sentiment Index 65.0 -21.69%
  • Total Put/Call 1.28 +19.6%
  • NYSE Arms 1.40 -14.4%
Credit Investor Angst:
  • North American Investment Grade CDS Index 57.59 +2.85%
  • America Energy Sector High-Yield CDS Index 389.0 +3.79%
  • European Financial Sector CDS Index 54.17 +2.51%
  • Italian/German 10Y Yld Spread 130.25 -1.5 basis points
  • Asia Pacific Sovereign Debt CDS Index 12.11 -.21%
  • Emerging Market CDS Index 126.79 +3.91%
  • iBoxx Offshore RMB China Corporate High Yield Index 147.95 +.02%
  • 2-Year Swap Spread 26.0 -2.5 basis points
  • TED Spread 36.25 +3.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -33.75 -.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 75.17 -.11%
  • 3-Month T-Bill Yield 1.62% -4.0 basis points
  • Yield Curve 60.0 -1.25 basis points
  • China Iron Ore Spot 75.75 USD/Metric Tonne -1.98%
  • Citi US Economic Surprise Index 39.50 +6.6 points
  • Citi Eurozone Economic Surprise Index .2 -2.2 points
  • Citi Emerging Markets Economic Surprise Index 7.30 -.6 point
  • 10-Year TIPS Spread 2.10 -2.0 basis points
  • 100.0% chance of Fed rate hike at May 2 meeting, 100.0% chance at June 13 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -624 open in Japan 
  • China A50 Futures: Indicating -229 open in China
  • DAX Futures: Indicating -151 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my biotech/industrial/medical/tech/retail sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges, then covered some of them
  • Market Exposure: 50% Net Long

Bear Radar

Style Underperformer:
  • Large-Cap Growth -1.1%
Sector Underperformers:
  • 1) Medical Equipment -2.2% 2) Gaming -1.9% 3) Semis -1.8%
Stocks Falling on Unusual Volume: 
  • PTLA, WAGE, PDCO, CORI, BOX, EPR, MNST, WPP, LB, ALB, ACAD, DERM, KSS, TPC and CCRN
Stocks With Unusual Put Option Activity:
  • 1) QEP 2) AXL 3) BOX 4) ILG 5) AABA
Stocks With Most Negative News Mentions:
  • 1) PTLA 2) CCRN 3) PDCO 4) VRX 5) OSTK
Charts:

Bull Radar

Style Outperformer:
  • Small-Cap Value +.1%
Sector Outperformers:
  • 1) Coal +1.4% 2) Steel +1.2% 3) Oil Service +.8%
Stocks Rising on Unusual Volume:
  • AFSI, AAXN, FDX, ILG, HIIQ, AXGN, REPH, MDB, X, BBY, FLY, SSYS, DDD, WBAI, BID, CRM, PGTI, TWNK, BUD, COT, UBNT, BSTI, PRFT, AKRX, BLDR, AFSI, MDCO, CENX, BC, GKOS, BBY, FOLD, PRAA and LSXMA
Stocks With Unusual Call Option Activity:
  • 1) QEP 2) A 3) BOX 4) CRC 5) BBY
Stocks With Most Positive News Mentions:
  • 1) DDD 2) NVAX 3) BBY 4) ITRI 5) CSX
Charts:

Morning Market Internals

NYSE Composite Index: