Monday, January 29, 2018

Stocks Lower into Final Hour on Profit-Taking, Rising Long-Term Rates, Oil Decline, Homebuilding/Energy Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.1 +17.9%
  • Euro/Yen Carry Return Index 140.57 -.08%
  • Emerging Markets Currency Volatility(VXY) 8.29 +.97%
  • S&P 500 Implied Correlation 32.39 -3.14%
  • ISE Sentiment Index 90.0 -30.2%
  • Total Put/Call .71 -10.13%
  • NYSE Arms .61 +23.4%
Credit Investor Angst:
  • North American Investment Grade CDS Index 45.82 +.56%
  • America Energy Sector High-Yield CDS Index 294.0 +.15%
  • European Financial Sector CDS Index 41.20 -.05%
  • Italian/German 10Y Yld Spread 133.25 -4.5 basis points
  • Asia Pacific Sovereign Debt CDS Index 10.66 -.42%
  • Emerging Market CDS Index 115.80 +2.15%
  • iBoxx Offshore RMB China Corporate High Yield Index 146.53 +.06%
  • 2-Year Swap Spread 19.50 +1.0 basis point
  • TED Spread 35.75 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -29.0 -2.5 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 76.18 -.39%
  • 3-Month T-Bill Yield 1.40% -1.0 basis point
  • Yield Curve 57.75 +3.75 basis points
  • China Iron Ore Spot 73.50 USD/Metric Tonne +1.18%
  • Citi US Economic Surprise Index 35.50 -2.0 points
  • Citi Eurozone Economic Surprise Index 55.40 -1.0 basis point
  • Citi Emerging Markets Economic Surprise Index 1.5 +1.0 basis point
  • 10-Year TIPS Spread 2.09 unch.
  • 88.8% chance of Fed rate hike at March 21 meeting, 89.3% chance at May 2 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -39 open in Japan 
  • China A50 Futures: Indicating -61 open in China
  • DAX Futures: Indicating -7 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my biotech/retail sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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