Afternoon Market Internals

NYSE Composite Index:

• Volume Running +4.9% Above 100-Day Average 
• 0 Sectors Rising, 11 Sectors Declining
• 24.5% of Issues Advancing, 71.8% Declining
• 54 New 52-Week Highs, 26 New Lows
• 85.5% of Issues Above 200-day Moving Average
• Average 14-Day RSI 46.5%
  
• Bloomberg Global Risk-On/Risk-Off Index 3,0675.0 -189.0 points
• Vix 19.3 +9.0%
• Total Put/Call .87 +4.8%
• TRIN/Arms 1.56 +3.31%

Stocks Reversing Slightly Higher into Afternoon on Diminished Fed Taper Worries, Falling Inflation Fears, Multiple Expansion, Tech/Homebuilding Sector Strength

Broad Equity Market Tone:

• Advance/Decline Line: Substantially Lower
  

• Sector Performance: Most Sectors Declining
  

• Volume: Around Average

• Market Leading Stocks: Performing In Line
  

Equity Investor Angst:

• Volatility(VIX) 18.9 +4.2%
• Bloomberg Global Risk On/Risk Off Index 3,142.0 -61.0 points

• Euro/Yen Carry Return Index 135.55 -1.2%

• Emerging Markets Currency Volatility(VXY) 9.0 +3.8%

• S&P 500 Implied Correlation 36.8 +3.5%

• ISE Sentiment Index 114.0  -33.0 points
  

• Total Put/Call .81 -15.6%

• NYSE Arms 1.48 +37.0%

Credit Investor Angst:

• North American Investment Grade CDS Index 49.53 +.53%
  

• US Energy High-Yield OAS 394.60 +1.8%

• European Financial Sector CDS Index 55.10 +.7%

• Italian/German 10Y Yld Spread 101.0 -2.0 basis points
  

• Asia Ex-Japan Investment Grade CDS Index 84.43 +.93%
  

• Emerging Market CDS Index 155.63 +.51%
  

• China Corp. High-Yield Bond USD ETF(KCCB) 39.1 -.14%

• 2-Year Swap Spread 7.25 -.25 basis point

• TED Spread 9.5 -1.0 basis point
  

• 3-Month EUR/USD Cross-Currency Basis Swap -3.25 +.25 basis point
  
• MBS  5/10 Treasury Spread  71.25 -.25 basis point
  
• IHS Markit CMBX BBB- 6 74.0 -.75 basis point
  

Economic Gauges:

• Bloomberg Emerging Markets Currency Index 60.68 -.66%
• 3-Month T-Bill Yield .03% -1.0 basis point
  

• Yield Curve 137.0 +4.0 basis points
  

• China Iron Ore Spot 207.25 USD/Metric Tonne +.5%

• Citi US Economic Surprise Index 44.5 -.4 point

• Citi Eurozone Economic Surprise Index 120.40 +1.0 point
  

• Citi Emerging Markets Economic Surprise Index 79.0 -.2 point

• 10-Year TIPS Spread 2.24 -10.0 basis points
• 100.0% chance of no change at Nov. 3rd meeting, 100.0% chance of no change at Dec. 15th meeting

Overseas Futures:

• Nikkei 225 Futures: Indicating +97 open in Japan 
• China A50 Futures: Indicating -54 open in China

• DAX Futures: Indicating +2 open in Germany

Portfolio:

• Slightly Lower: On losses in my commodity/industrial sector longs
  

• Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  

• Market Exposure: Moved to 75% Net Long
  

Mid-Day Market Internals

NYSE Composite Index:

• Volume Running +.2% Above 100-Day Average 
• 7 Sectors Rising, 4 Sectors Declining
• 33.7% of Issues Advancing, 62.0% Declining
• 92 New 52-Week Highs, 16 New Lows
• 87.0% of Issues Above 200-day Moving Average
• Average 14-Day RSI 50.3%
  
• Bloomberg Global Risk-On/Risk-Off Index 3,295.0 +93.0 points
• Vix 16.8 -7.7%
• Total Put/Call .83 -13.5%
• TRIN/Arms 1.39 +28.7%

Thursday Watch

Night Trading 

• Asian equity indices are -.75% to -.25% on average.

• Asia Ex-Japan Investment Grade CDS Index 83.75 +.5 basis point.

• China Sovereign CDS 36.75 +.75 basis point.
  

• Bloomberg Emerging Markets Currency Index 61.04 -.09%.
• Bloomberg Global Risk-On/Risk Off Index 3,191.0 -11.0 points.
• Volatility Index(VIX) futures 20.10 +2.43%.
• FTSE 100 futures -.49%.

• S&P 500 futures -.39%.

• NASDAQ 100 futures -.61%. 

Morning Preview Links

Earnings of Note 
Company/Estimate 

 

Before the Open: 

• (CMC)/.83
• (JBL)/1.04
• (KR)/.99
  

After the Close:

• (ADBE)/2.82
• (SWBI)/1.08
  

Economic Releases

8:30 am EST

• The Philly Fed Business Outlook Index for June is estimated to fall to 30.5 versus 31.5 in May.
• Initial Jobless Claims for last week are estimated to fall to 360K versus 376K the prior week. 
• Continuing Claims are estimated to fall to 3425K versus 3499K prior.
  

10:00 am EST

• The Leading Index for May is estimated to rise +1.3% versus a +1.6% gain in April.

Upcoming Splits

• None of note
  

Other Potential Market Movers

• The Treasury Secretary Yellen's testimony to House, Eurozone CPI report, weekly Langer Consumer Comfort Index, weekly EIA natural gas inventory report, Goldman Digital Economy Conference and the RBC Capital Tech/Fintech Conference could also impact global trading today.

US Equity Market Hours

• 9:30 am - 4:00 pm EST
  

BOTTOM LINE: Asian indices are lower, weighed down by technology and commodity shares in the region. I expect US stocks to open lower and to maintain losses into the afternoon. The Portfolio is 50% net long heading into the day.

Stocks Lower into Final Hour on Fed Taper Worries, Rising Long-Term Rates, Dollar Strength, Metals&Mining/Homebuilding Sector Weakness

 

 Broad Equity Market Tone:

• Advance/Decline Line: Substantially Lower
  

• Sector Performance: Most Sectors Declining
  

• Volume: Around Average

• Market Leading Stocks: Performing In Line
  

Equity Investor Angst:

• Volatility(VIX) 18.0 +6.0%
• Bloomberg Global Risk On/Risk Off Index 3,190.0 -168.0 points

• Euro/Yen Carry Return Index 137.10 -.6%

• Emerging Markets Currency Volatility(VXY) 8.6 -.7%

• S&P 500 Implied Correlation 36.2 +8.6%

• ISE Sentiment Index 147.0  +27.0 points
  

• Total Put/Call .90 +25.0%

• NYSE Arms 1.15 +26.4%

Credit Investor Angst:

• North American Investment Grade CDS Index 49.29 +1.2%
  

• US Energy High-Yield OAS 389.53 -1.5%

• European Financial Sector CDS Index 54.72 -.82%

• Italian/German 10Y Yld Spread 103.0 +1.0 basis point
  

• Asia Ex-Japan Investment Grade CDS Index 83.51 +.70%
  

• Emerging Market CDS Index 154.21 +1.42%
  

• China Corp. High-Yield Bond USD ETF(KCCB) 39.19 +.14%

• 2-Year Swap Spread 7.5 -.25 basis point

• TED Spread 10.5 -.25 basis point
  

• 3-Month EUR/USD Cross-Currency Basis Swap -3.5 -.25 basis point
  
• MBS  5/10 Treasury Spread  71.5 +.75 basis point
  
• IHS Markit CMBX BBB- 6 74.75 unch.
  

Economic Gauges:

• Bloomberg Emerging Markets Currency Index 61.17 -.43%
• 3-Month T-Bill Yield .04% +3.0 basis points
  

• Yield Curve 133.0 +1.0 basis point
  

• China Iron Ore Spot 206.0 USD/Metric Tonne -1.9%

• Citi US Economic Surprise Index 44.9 -5.1 points

• Citi Eurozone Economic Surprise Index 119.40 -3.2 points
  

• Citi Emerging Markets Economic Surprise Index 79.2 -7.1 points

• 10-Year TIPS Spread 2.34 -5.0 basis points
• 83.0% chance of no change at Sept. 22nd meeting, 83.2% chance of no change at Nov. 3rd meeting

Overseas Futures:

• Nikkei 225 Futures: Indicating +114 open in Japan 
• China A50 Futures: Indicating -146 open in China

• DAX Futures: Indicating +25 open in Germany

Portfolio:

• Slightly Lower: On losses in my tech/biotech/industrial sector longs
  

• Disclosed Trades: None
  

• Market Exposure: 75% Net Long
  

Bear Radar

 Style Underperformer:

• Small-Cap Value -.8%

Sector Underperformers:

• 1) Steel -1.9% 2) Banks -1.5% 3) Energy -1.2%

Stocks Falling on Unusual Volume: 

• NESR, UPST, C, ORCL, WISH, SAGE, CRSR, WOOF, HRB, RBLX, LZB and RAPT
  

Stocks With Unusual Put Option Activity:

• 1) ORCL 2) PGR 3) SRAX 4) LEN 5) OLLI
  

Stocks With Most Negative News Mentions:

• 1) TAL 2) EDU 3) RBLX 4) LZB 5) HRB
  

Charts:

• ETFs Falling on Unusual Volume
• Stocks Falling on Unusual Volume