Thursday, December 24, 2015

Stocks Slightly Lower into Final Hour on Yen Strength, Profit-Taking, Technical Selling, Energy/Retail Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume: Light
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 15.69 +.83%
  • Euro/Yen Carry Return Index 137.69 -.11%
  • Emerging Markets Currency Volatility(VXY) 11.35 unch.
  • S&P 500 Implied Correlation 58.37 +.53%
  • ISE Sentiment Index 151.0 +17.0%
  • Total Put/Call .85 +2.41%
  • NYSE Arms 1.39 +224.54
Credit Investor Angst:
  • North American Investment Grade CDS Index 91.05 +.06%
  • America Energy Sector High-Yield CDS Index 1,665.0 -2.72%
  • European Financial Sector CDS Index 73.50 +.34%
  • Western Europe Sovereign Debt CDS Index 17.41 +.14%
  • Asia Pacific Sovereign Debt CDS Index 73.44 -.42%
  • Emerging Market CDS Index 352.70 +.07%
  • iBoxx Offshore RMB China Corporate High Yield Index 123.70 +.05%
  • 2-Year Swap Spread 12.25 -1.5 basis points
  • TED Spread 40.0 +1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -25.75 -.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.77 +.14%
  • 3-Month T-Bill Yield .19% unch.
  • Yield Curve 125.0 -3.0 basis points
  • China Import Iron Ore Spot $41.00/Metric Tonne +.44%
  • Citi US Economic Surprise Index -32.2 +.6 point
  • Citi Eurozone Economic Surprise Index 15.9 -.4 point
  • Citi Emerging Markets Economic Surprise Index 17.90 +1.6 points
  • 10-Year TIPS Spread 1.54% unch.
  • 55.0% chance of next Fed rate hike at April 27 meeting, 72.3% chance at June 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +79 open in Japan 
  • China A50 Futures: Indicating -17 open in China
  • DAX Futures: Indicating +14 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech/medical/biotech sector longs and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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