Wednesday, November 22, 2017

Stocks Slightly Lower into Final Hour on Profit-Taking, Technical Selling, Yen Strength, Financial/Defense Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 9.75 +.21%
  • Euro/Yen Carry Return Index 136.99 -.42%
  • Emerging Markets Currency Volatility(VXY) 7.90 +.64%
  • S&P 500 Implied Correlation 16.28 unch.
  • ISE Sentiment Index 102.0 -.32%
  • Total Put/Call .88 +4.76%
  • NYSE Arms .82 -39.0%
Credit Investor Angst:
  • North American Investment Grade CDS Index 52.67 -1.71%
  • America Energy Sector High-Yield CDS Index 371.0 -.59%
  • European Financial Sector CDS Index 48.18 -2.69%
  • Western Europe Sovereign Debt CDS Index 3.96 +4.91%
  • Asia Pacific Sovereign Debt CDS Index 15.26 -1.1%
  • Emerging Market CDS Index 185.32 unch.
  • iBoxx Offshore RMB China Corporate High Yield Index 145.50 +.01%
  • 2-Year Swap Spread 17.5 -.5 basis point
  • TED Spread 16.75 -1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -46.25 +3.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 73.24 +.60%
  • 3-Month T-Bill Yield 1.29% +2.0 basis points
  • Yield Curve 59.5 +1.0 basis point
  • China Import Iron Ore Spot $65.17/Metric Tonne +4.27%
  • Citi US Economic Surprise Index 55.70 -4.1 points
  • Citi Eurozone Economic Surprise Index 54.40 -.2 basis point
  • Citi Emerging Markets Economic Surprise Index 14.20 -.5 point
  • 10-Year TIPS Spread 1.88 unch.
  • 100.0% chance of Fed rate hike at Jan. 31 meeting, 100.0% chance at March 21 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -77 open in Japan 
  • China A50 Futures: Indicating -24 open in China
  • DAX Futures: Indicating -19 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech/retail sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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