Tuesday, December 15, 2015

Stocks Rising into Final Hour on Less European/Emerging Markets/US High-Yield Debt Angst, Oil Bounce, Short-Covering, Energy/Financial Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 20.64 -9.19%
  • Euro/Yen Carry Return Index 138.82 -.02%
  • Emerging Markets Currency Volatility(VXY) 11.35 -2.32%
  • S&P 500 Implied Correlation 57.93 -1.23%
  • ISE Sentiment Index 185.0 +146.67%
  • Total Put/Call .85 -20.56%
  • NYSE Arms .75 +45.30
Credit Investor Angst:
  • North American Investment Grade CDS Index 90.55 -2.31%
  • America Energy Sector High-Yield CDS Index 1,672.0 +1.71%
  • European Financial Sector CDS Index 77.25 -5.82%
  • Western Europe Sovereign Debt CDS Index 17.93 +3.16%
  • Asia Pacific Sovereign Debt CDS Index 73.60 -3.30%
  • Emerging Market CDS Index 345.90 -4.50%
  • iBoxx Offshore RMB China Corporate High Yield Index 123.36 unch.
  • 2-Year Swap Spread 6.75 +.5 basis point
  • TED Spread 26.25 -3.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -38.25 -1.5 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.43 +.37%
  • 3-Month T-Bill Yield .24% +4.0 basis points
  • Yield Curve 130.0 +3.0 basis points
  • China Import Iron Ore Spot $39.36/Metric Tonne +.77%
  • Citi US Economic Surprise Index -22.20 -1.5 points
  • Citi Eurozone Economic Surprise Index 19.5 +.5 point
  • Citi Emerging Markets Economic Surprise Index 16.40 -1.3 basis points
  • 10-Year TIPS Spread 1.51 +2.0 basis points
  • # of Months to 1st Fed Rate Hike(Morgan Stanley) .95 -.21
Overseas Futures:
  • Nikkei 225 Futures: Indicating +365 open in Japan 
  • China A50 Futures: Indicating -183 open in China
  • DAX Futures: Indicating +3 open in Germany
Portfolio: 
  • Higher: On gains in my biotech/retail/tech/medical sector longs 
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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