Monday, October 05, 2015

Stocks Surging into Final Hour on Central Bank Hopes, Less European/Emerging Markets/US High-Yield Debt Angst, Oil Bounce, Commodity/Gaming Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Around Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 19.41 -7.31%
  • Euro/Yen Carry Return Index 140.77 +.23%
  • Emerging Markets Currency Volatility(VXY) 11.70 -.85%
  • S&P 500 Implied Correlation 60.36 -1.69%
  • ISE Sentiment Index 123.0 +55.70%
  • Total Put/Call 1.03 -5.50%
  • NYSE Arms .38 -34.21% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 88.26 -5.95%
  • America Energy Sector High-Yield CDS Index 1,099.0 -1.41%
  • European Financial Sector CDS Index 87.54 -7.34%
  • Western Europe Sovereign Debt CDS Index 21.30 +.45%
  • Asia Pacific Sovereign Debt CDS Index 84.06 -6.87%
  • Emerging Market CDS Index 347.69 -6.20%
  • iBoxx Offshore RMB China Corporates High Yield Index 119.86 +.14%
  • 2-Year Swap Spread 13.0 +.5 basis point
  • TED Spread 33.75 -.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -25.50 +4.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 71.44 +.71%
  • 3-Month T-Bill Yield -.01% unch.
  • Yield Curve 145.0 +4.0 basis points
  • China Import Iron Ore Spot $53.14/Metric Tonne n/a
  • Citi US Economic Surprise Index -29.70 unch.
  • Citi Eurozone Economic Surprise Index 18.70 -12.6 points
  • Citi Emerging Markets Economic Surprise Index -20.30 unch.
  • 10-Year TIPS Spread 1.51 +2.0 basis points
  • # of Months to 1st Fed Rate Hike(Morgan Stanley) 6.97 +1.73
Overseas Futures:
  • Nikkei 225 Futures: Indicating +490 open in Japan 
  • China A50 Futures: Indicating n/a open in China
  • DAX Futures: Indicating +60 open in Germany
Portfolio: 
  • Higher: On gains in my tech/retail sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and (EEM) short
  • Market Exposure: Moved to 75% Net Long

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