Friday, November 27, 2015

Stocks Slightly HIgher into Final Hour on Central Bank Hopes, Seasonal Strength, Less European Debt Angst, Healthcare/Tech Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume: Light
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 15.29 +.39%
  • Euro/Yen Carry Return Index 135.95 +.04%
  • Emerging Markets Currency Volatility(VXY) 10.47 unch.
  • S&P 500 Implied Correlation 56.61 -1.51%
  • ISE Sentiment Index 134.0 unch.
  • Total Put/Call 1.30 +26.21%
  • NYSE Arms 1.70 +4.34
Credit Investor Angst:
  • North American Investment Grade CDS Index 84.50 -.06%
  • America Energy Sector High-Yield CDS Index 1,320.0 -.05%
  • European Financial Sector CDS Index 68.23 +.34%
  • Western Europe Sovereign Debt CDS Index 17.77 -4.36%
  • Asia Pacific Sovereign Debt CDS Index 69.04 +.75%
  • Emerging Market CDS Index 319.33 +.41%
  • iBoxx Offshore RMB China Corporate High Yield Index 124.14 -.13%
  • 2-Year Swap Spread 5.25 +.5 basis point
  • TED Spread 22.25 -1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -53.25 -6.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 70.37 -.31%
  • 3-Month T-Bill Yield .16% -1.0 basis point
  • Yield Curve 130.0 unch.
  • China Import Iron Ore Spot $44.50/Metric Tonne +1.18%
  • Citi US Economic Surprise Index -15.5 +1.0 point
  • Citi Eurozone Economic Surprise Index 28.20 +6.0 points
  • Citi Emerging Markets Economic Surprise Index 5.4 +1.4 points
  • 10-Year TIPS Spread 1.63 -1.0 basis point
  • # of Months to 1st Fed Rate Hike(Morgan Stanley) 1.85 -.03
Overseas Futures:
  • Nikkei 225 Futures: Indicating -3 open in Japan 
  • China A50 Futures: Indicating -119 open in China
  • DAX Futures: Indicating +2 open in Germany
Portfolio: 
  • Higher: On gains in my biotech/medical/tech sector longs and emerging markets shorts 
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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