Wednesday, December 23, 2015

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

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Every Sector Rising
  • Volume: Light
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 15.54 -6.39%
  • Euro/Yen Carry Return Index 137.80 -.60%
  • Emerging Markets Currency Volatility(VXY) 11.32 -.44%
  • S&P 500 Implied Correlation 57.06 -1.69%
  • ISE Sentiment Index 129.0 +51.7%
  • Total Put/Call .76 -15.6%
  • NYSE Arms .47 -20.53
Credit Investor Angst:
  • North American Investment Grade CDS Index 90.40 -2.55%
  • America Energy Sector High-Yield CDS Index 1,715.0 -2.85%
  • European Financial Sector CDS Index 73.25 -3.94%
  • Western Europe Sovereign Debt CDS Index 17.39 -1.33%
  • Asia Pacific Sovereign Debt CDS Index 73.76 -1.16%
  • Emerging Market CDS Index 352.57 -1.80%
  • iBoxx Offshore RMB China Corporate High Yield Index 123.64 +.04%
  • 2-Year Swap Spread 13.75 -.5 basis point
  • TED Spread 39.0 -2.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -25.25 +6.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.66 +.35%
  • 3-Month T-Bill Yield .19% +1.0 basis point
  • Yield Curve 128.0 +1.0 basis point
  • China Import Iron Ore Spot $40.82/Metric Tonne +.05%
  • Citi US Economic Surprise Index -32.8 -3.6 points
  • Citi Eurozone Economic Surprise Index 16.3 -1.3 points
  • Citi Emerging Markets Economic Surprise Index 16.20 +.4 point
  • 10-Year TIPS Spread 1.54% +5.0 basis points
  • 55.6% chance of next Fed rate hike at April 27 meeting, 72.4% chance at June 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +214 open in Japan 
  • China A50 Futures: Indicating -46 open in China
  • DAX Futures: Indicating +32 open in Germany
Portfolio: 
  • Higher: On gains in my retail/tech/medical/biotech 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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