Monday, December 21, 2015

Stocks Higher into Afternoon on Seasonal Strength, Bargain-Hunting, Short-Covering, Healthcare/Gaming Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 19.31 -6.76%
  • Euro/Yen Carry Return Index 138.17 +.41%
  • Emerging Markets Currency Volatility(VXY) 11.46 +.35%
  • S&P 500 Implied Correlation 60.53 -1.0%
  • ISE Sentiment Index 43.0 -34.85%
  • Total Put/Call .78 -22.77%
  • NYSE Arms .97 -40.62
Credit Investor Angst:
  • North American Investment Grade CDS Index 95.06 -.25%
  • America Energy Sector High-Yield CDS Index 1,792.0 -.49%
  • European Financial Sector CDS Index 78.20 +2.24%
  • Western Europe Sovereign Debt CDS Index 17.97 +3.75%
  • Asia Pacific Sovereign Debt CDS Index 74.58 +.17%
  • Emerging Market CDS Index 360.18 +1.0%
  • iBoxx Offshore RMB China Corporate High Yield Index 123.54 unch.
  • 2-Year Swap Spread 14.5 +1.0 basis point
  • TED Spread 42.0 +1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -29.0 -.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.34 +.1%
  • 3-Month T-Bill Yield .16% -2.0 basis points
  • Yield Curve 124.0 +1.0 basis point
  • China Import Iron Ore Spot $40.46/Metric Tonne +.9%
  • Citi US Economic Surprise Index -30.4 -6.5 points
  • Citi Eurozone Economic Surprise Index 17.6 -1.1 points
  • Citi Emerging Markets Economic Surprise Index 18.10 unch.
  • 10-Year TIPS Spread 1.48 -2.0 basis points
  • 69.4% chance of next Fed rate hike at June 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -76 open in Japan 
  • China A50 Futures: Indicating -106 open in China
  • DAX Futures: Indicating +39 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my retail sector longs and index hedges
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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