Monday, November 02, 2015

Stocks Surging into Final Hour on Buyout Speculation, Short-Covering, Diminished Global Growth Fears, Energy/Biotech Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 13.85 -8.1%
  • Euro/Yen Carry Return Index 138.94 +.2%
  • Emerging Markets Currency Volatility(VXY) 10.75 -.56%
  • S&P 500 Implied Correlation 56.45 -3.64%
  • ISE Sentiment Index 112.0 +11.0%
  • Total Put/Call .82 -22.68%
  • NYSE Arms .88 -37.60
Credit Investor Angst:
  • North American Investment Grade CDS Index 77.18 -2.14%
  • America Energy Sector High-Yield CDS Index 1,158.0 +2.62%
  • European Financial Sector CDS Index 69.0 +.17%
  • Western Europe Sovereign Debt CDS Index 19.06 unch.
  • Asia Pacific Sovereign Debt CDS Index 71.11 -1.50%
  • Emerging Market CDS Index 312.96 -3.76%
  • iBoxx Offshore RMB China Corporate High Yield Index 123.04 +.32%
  • 2-Year Swap Spread 11.75 +.5 basis point
  • TED Spread 26.25 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -29.25 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.01 -.01%
  • 3-Month T-Bill Yield .06% -1.0 basis point
  • Yield Curve 143.0 +1.0 basis point
  • China Import Iron Ore Spot $49.50/Metric Tonne -.66%
  • Citi US Economic Surprise Index -13.1 -.4 point
  • Citi Eurozone Economic Surprise Index 32.3 -.4 point
  • Citi Emerging Markets Economic Surprise Index -9.2 +1.3 points
  • 10-Year TIPS Spread 1.55 +2.0 basis points
  • # of Months to 1st Fed Rate Hike(Morgan Stanley) 4.03 -.04
Overseas Futures:
  • Nikkei 225 Futures: Indicating +312 open in Japan 
  • China A50 Futures: Indicating -4 open in China
  • DAX Futures: Indicating +23 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my medical/retail/biotech/tech 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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