Friday, April 13, 2018

Stocks Lower into Final Hour on Geopolitical Tensions, Mueller Probe Worries, Earnings Jitters, Retail/Financial Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 17.4 -5.9%
  • Euro/Yen Carry Return Index 138.01 +.17%
  • Emerging Markets Currency Volatility(VXY) 8.32 -.72%
  • S&P 500 Implied Correlation 45.2 -4.9%
  • ISE Sentiment Index 82.0 -18.8%
  • Total Put/Call .96 -4.0%
  • NYSE Arms .95 +11.6%
Credit Investor Angst:
  • North American Investment Grade CDS Index 61.21 -1.79%
  • America Energy Sector High-Yield CDS Index 431.0 -.88%
  • European Financial Sector CDS Index 57.42 -2.9%
  • Italian/German 10Y Yld Spread 128.50 -1.5 basis points
  • Asia Pacific Sovereign Debt CDS Index 12.44 -.92%
  • Emerging Market CDS Index 139.56 +.18%
  • iBoxx Offshore RMB China Corporate High Yield Index 149.21 +.07%
  • 2-Year Swap Spread 31.75 +.75 basis point
  • TED Spread 59.75 -1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -8.75 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 74.62 +.09%
  • 3-Month T-Bill Yield 1.75% +1.0 basis point
  • Yield Curve 46.5 -1.5 basis points
  • China Iron Ore Spot 65.15 USD/Metric Tonne +.05%
  • Citi US Economic Surprise Index 25.20 -3.1 points
  • Citi Eurozone Economic Surprise Index -88.90 +.3 point
  • Citi Emerging Markets Economic Surprise Index 17.6 -1.5 points
  • 10-Year TIPS Spread 2.14 +1.0 basis point
  • 88.6% chance of Fed rate hike at June 13 meeting, 89.3% chance at August 1 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +12 open in Japan 
  • China A50 Futures: Indicating -16 open in China
  • DAX Futures: Indicating +3 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my biotech/retail sector longs
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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