Trading Daily

North America

Market Commentary

Todays Highlights (J Mckeever/K Koenig/A Dash/R Cherry)

Printable Version:
.

The US broad market indices struggled all session yesterday. Crude fell 3% and leaned on Energy names. Treasuries were well bid as evidenced
by a strong 10y auction (softer yields pressed banks again). UST sold
$23 billion of 10-year notes at 1.503% and demand was solid as
bid/cover ratio was at 2.43 (last was 2.33) - was highest since 2.70 at
June auction. Overall equity volumes were on the weaker side (sub-6bn
shares, so -6% below the 20-day average). The CS Beta index fell 70bps indicating some de-risking trades. This morning US futures are
indicating a stronger opening in an attempt to recapture yesterdays
losses. Investors, however are paying special attention to the movement
in oil prices as they continue to head closer to the $40 a barrel level.
Excess inventory and predictions for weaker future demand are driving the
commodity down. There are only a few economic data releases to keep an
eye on today including July Import Prices & Initial Jobless Claims (for the
Aug 6th period) at 8:30am followed by 2Q mortgage data at 10am. At
1pm, we will get the results of the Treasurys $15 billion auction of 30years.
CS technical strategist David Sneddon believes equities are at a number
of key inflection points. Highlights from todays report include: 1. S&P
500 remains in an uptrend, but strength has stalled at trend resistance and
momentum is poor; 2. The VIX at 12/10 is typically associated with a
weaker S&P 500, but only above 14.24 would see a base; 3. US Market
Breadth has been unable to confirm the new price highs, adding a further
note of caution; 4. Nasdaq 100 remains capped at 4816 the record high
from the top of the Tech bubble; 5. Russell 2000 also holds a bearish
momentum setup, and needs to hold 1198 to maintain its current upmove;
6. US Cyclicals have rallied to key resistance relative to Defensives; 7.
David stays bullish US Semiconductors. The full note includes analysis of
non US equities and credit. Log onto CS Plus or contact your CS rep for
Davids report.

Thursday, August 11, 2016

MARKET UPDATE
NY Time: 8:20 AM

STOCKS
Americas:
Dow (Fut)
S&P500 (Fut)

% Chg

Level

Status

0.22% 18492.0
0.17% 2176.5

(Opn)
(Opn)

0.36%
0.29%

3029.0
6832.5

(Opn)
(Opn)

-0.18% 16735.1
0.39% 22580.6

(Clsd)
(Clsd)

Europe:

EuroStoxx50 (Fut)
FTSE 100 (Fut)
Asia:

Nikkei 225
HangSeng
OPTIONS
VIX (Index)
BONDS
3 Mth Yld
2 Yr Yld
10 Yr Yld
FX
Euro
Pound
Aussie
Yen
COMMODITIES
Oil
Gold

-0.18 pts

11.87

(Opn)

-0.01%
0.01%
0.01%

0.27%
0.69%
1.51%

(Opn)
(Opn)
(Opn)

% Chg vs USD

$-
$-
$-
$-

-0.19%
1.116
-0.37%
1.296
0.13%
0.771
-0.06% 101.350

-0.62%
41.45
-0.19% 1344.02
Source: Bloomberg

Source: Bloomberg

Index Changes Today

S&P/TSX: EMA CN (Upweight, 0.131%. 1.9m shares to buy = 1.9 days)
S&P/TSX60: EMA CN (Upweight, 0.175%. 0.8m shares to buy = 0.8 days)

2200

2100

2050
2000

1-Aug

18-Jul

4-Jul

20-Jun

6-Jun

1950

S&P Price Level

2150

S&P 500

23-May

Source: Bloomberg

Volume

9-May

Consensus
Prior
-0.4%
0.2%
265.0K
269.0K
-4.3%
-4.8%
2132.5K
2138.0K
43.0
4.8%
1.7%

Daily US Volume vs S&P Index

25-Apr

Economic Statistic/Event
US Import Price Index by End Use All MoM NSA
US Initial Jobless Claims SA
US Import Price Index by End Use All YoY NSA
US Continuing Jobless Claims SA
Bloomberg US Weekly Consumer Comfort Index
Delinquencies As % Of Total Loans SA
Foreclosures As % Of Total Loans NSA

16
14
12
10
8
6
4
2
-

11-Apr

Time
8:30 AM
8:30 AM
8:30 AM
8:30 AM
9:45 AM
10:00 AM
10:00 AM

Shares (Billions)

Todays Economic Announcements:

1900

Source: Bloomberg

Page 1 of 3

US Trading Daily
11 August 2016

Chart of the Day: On the SECs Radar (Ana Avramovic)

What to watch on the regulatory/market structure front:
Topic

Description & Status

IEX Converting
to Exchange

IEX transitioning from ATS status to an exchange in phases, beginning August 19, to be completed by September 2.
NYSE Arca has received SEC approval to offer a new order type similar to IEX's proprietary D-PEG.
Nasdaq is assessing client interest in adding their own "speed bump" delay to one or more of their exchanges.

Order Routing
Disclosures

The SEC has proposed a rule that would require broker-dealers to provide specific data related to routing and execution of
institutional customer orders upon their request.
The proposal will be open for a 60 day public comment period upon publication in the Federal Register (imminent).

Widen Tick Sizes

Limit Up/Limit
Down Circuit
Breakers
Access Fees

Pilot program to widen tick sizes for selected small/midcap securities with market cap<$3bn, ADV<1millions shares,
price<$2.
There will be 3 test groups (plus a control), one of which includes a "trade-at" component.
Program begins on October 3, 2016, scheduled to last for 2 years.
See Notes on the SEC Tick Pilot for more.
SEC considering refining rules that currently trigger a trading halt, in light of the events of Aug 24, 2015 when over 1000
halts occurred.
Also discussing whether market-wide CBs should be widened.
The SEC's Market Structure Advisory committee has recommended initiating a pilot program to lower access fees.
No action immediately pending from the SEC.

Limit Leverage
for Registered
Funds

The SEC has proposed restricting use of leverage for registered investment companies. This would mainly impact 3x
leveraged ETFs.
Comment period ended March 2016; awaiting SEC action.

New SEC
Commissioners

There are still two vacancies, one Republican and one Democrat, leaving the current commission with only two
commissioners plus Chair White.
Obama has named individuals to fill both of these positions, but they are yet to be confirmed by Congress. There is no
defined timeline for the confirmation.
Note that there are also two open slots at the CFTC and two open slots at the Fed.
Source: Credit Suisse Trading Strategy

Delta One (John Penney)

ETF Desk Color (Sources: Bloom berg, CS MarketSnap)

Activity on our desk was 57% to buy institutions were 51% of our flows

Institutions were buying Tech (VGT) and Small Cap (IWM) via ETF Nitro; selling International (EFA, EEM) via ETF Nitro and High
Yield (JNK, HYG, HYS)

Hedge funds were buying Low Volatility (USMV, SPLV via ETF Nitro) and selling Russia (RSX) and Small Cap (IWM).

Yesterdays Fund Flows (Sources: Bloom berg)

Biggest day of inflows for Equities in a month (+$3b overall) led by sector ETFs

Technology (XLK +$261mm), Healthcare (XLV +$384mm) and Financials (XLF +$156mm) all had inflows while Discretionary
(XLY -$252mm) was down

The win streak for EM Equity continued (VWO +$189mm); the space has brought in $8.8b over that last five weeks

HY and IG Corporates led inflows within Fixed Income again (JNK +$127mm, VCSH +$89mm, LQD +$49mm, CIU +$39mm)

Currency Hedged ETFs have had 14 straight days of net outflows (-$2.3b overall).

Page 2 of 3

US Trading Daily
11 August 2016

Question of the Day

Today: What are the only Olympic sports the U.S. has never won a medal?

Previous Day: On nearly every car's gas meter, there is a small arrow next to the image of the gas pump. Why is the arrow
there?
Answer: The direction of the arrow tells you on which side of the car the tank is located.

Contributors and Contacts

Trading Strategy

Delta One Trading

Victor Lin

415-836-7643

victor.lin@credit-suisse.com

Josh Lukeman

} 212-325-3205

josh.lukeman@credit-suisse.com

Ana Avramovic

212-325-2438

ana.avramovic@credit-suisse.com

Justin Bojarski

justin.bojarski@credit-suisse.com

Meera Krishnan

212 325 5613

meera.krishnan@credit-suisse.com

Rob Bernstone

212-325-3205

robert.bernstone@credit-suisse.com

Michael Strongin

212-325-3205

michael.strongin@credit-suisse.com

Justin Waluch

212-325-3205

justin.waluch@credit-suisse.com

212-325-7421

john.dwyer@credit-suisse.com

212-325-5227

tim.scanlon@credit-suisse.com

Program Trading Sales

Futures

James Mckeever

james.mckeever@credit-suisse.com

Kevin Koenig

} 212-325-7764

kevin.koenig@credit-suisse.com

John Dwyer

Aunrie Dash

aunrie.dash@credit-suisse.com

Derivative Sales

Ron Cherry

ron.cherry@credit-suisse.com
Tim Scanlon

Special Situations
Tom Bruno

Interest Rates
212-325-3684

tom.bruno@credit-suisse.com

Praveen Korapaty

212-325-3427

praveen.korapaty@credit-suisse.com

Cash
Laura Prostic

212-325-2147

laura.prostic@credit-suisse.com

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