Wednesday, August 26, 2015

Stocks Surging into Final Hour on Central Bank Hopes, Less European/US High-Yield Debt Angst, Bargain-Hunting, Tech/Oil Service Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 33.77 -6.25%
  • Euro/Yen Carry Return Index 141.88 -.81%
  • Emerging Markets Currency Volatility(VXY) 12.51 +2.54%
  • S&P 500 Implied Correlation 57.54 +.26%
  • ISE Sentiment Index 69.0 -10.39%
  • Total Put/Call 1.03 -18.9%
  • NYSE Arms .52 -83.12% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 84.47 -3.22%
  • America Energy Sector High-Yield CDS Index 1,930.0 -1.06%
  • European Financial Sector CDS Index 84.66 -.31%
  • Western Europe Sovereign Debt CDS Index 23.82 -3.31%
  • Asia Pacific Sovereign Debt CDS Index 80.78 -2.17%
  • Emerging Market CDS Index 375.58 +1.0%
  • iBoxx Offshore RMB China Corporates High Yield Index 117.15 -.14%
  • 2-Year Swap Spread 14.0 -5.75 basis points
  • TED Spread 26.50 -1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -20.25 -.75 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .05% +1.0 basis point
  • Yield Curve 150.0 +1.0 basis point
  • China Import Iron Ore Spot $53.67/Metric Tonne +.41%
  • Citi US Economic Surprise Index -9.3 +6.0 points
  • Citi Eurozone Economic Surprise Index 17.4 -.5 point
  • Citi Emerging Markets Economic Surprise Index -7.9 +.1 point
  • 10-Year TIPS Spread 1.54 +1.0 basis point
  • # of Months to 1st Fed Rate Hike(Morgan Stanley) 6.55 unch.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +4 open in Japan 
  • China A50 Futures: Indicating -76 open in China
  • DAX Futures: Indicating unch. open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech/medical/biotech/retail sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging markets shorts
  • Market Exposure: Moved to 75% Net Long

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