Tuesday, December 22, 2015

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

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Light
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 16.97 -9.25%
  • Euro/Yen Carry Return Index 138.62 +.26%
  • Emerging Markets Currency Volatility(VXY) 11.36 -.79%
  • S&P 500 Implied Correlation 59.35 -1.8%
  • ISE Sentiment Index 85.0 +51.79%
  • Total Put/Call .89 +8.54%
  • NYSE Arms .67 -24.58% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 94.62 -2.40%
  • America Energy Sector High-Yield CDS Index 1,750.0 -2.64%
  • European Financial Sector CDS Index 76.25 -2.49%
  • Western Europe Sovereign Debt CDS Index 17.63 -1.95%
  • Asia Pacific Sovereign Debt CDS Index 74.62 +.05%
  • Emerging Market CDS Index 358.71 -.1%
  • iBoxx Offshore RMB China Corporate High Yield Index 123.59 +.05%
  • 2-Year Swap Spread 14.25 -.25 basis point
  • TED Spread 41.75 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -31.50 -2.5 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.39 +.05%
  • 3-Month T-Bill Yield .18% +2.0 basis points
  • Yield Curve 127.0 +3.0 basis points
  • China Import Iron Ore Spot $40.80/Metric Tonne +.84%
  • Citi US Economic Surprise Index -29.2 +1.2 points
  • Citi Eurozone Economic Surprise Index 17.6 unch.
  • Citi Emerging Markets Economic Surprise Index 17.80 -.3 point
  • 10-Year TIPS Spread 1.49% +1.0 basis point
  • 54.0% chance of next Fed rate hike at April 27 meeting, 70.5% chance at June 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +23 open in Japan 
  • China A50 Futures: Indicating +29 open in China
  • DAX Futures: Indicating +54 open in Germany
Portfolio: 
  • Higher: On gains in my retail/tech/medical sector longs 
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my (EEM) short
  • Market Exposure: Moved to 75% Net Long

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