Wednesday, December 16, 2015

Stocks Surging into Final Hour on Less European/US High-Yield Debt Angst, Short-Covering, Seasonal Strength, Alt Energy/Utility Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Slightly Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 17.38 -17.04%
  • Euro/Yen Carry Return Index 139.66 +.50%
  • Emerging Markets Currency Volatility(VXY) 11.34 -.09%
  • S&P 500 Implied Correlation 56.15 -3.17%
  • ISE Sentiment Index 93.0 -50.27%
  • Total Put/Call .77 -12.5%
  • NYSE Arms 1.03 +38.28
Credit Investor Angst:
  • North American Investment Grade CDS Index 89.44 -1.43%
  • America Energy Sector High-Yield CDS Index 1,680.0 +.58%
  • European Financial Sector CDS Index 75.50 -2.27%
  • Western Europe Sovereign Debt CDS Index 17.19 -4.13%
  • Asia Pacific Sovereign Debt CDS Index 73.09 +.01%
  • Emerging Market CDS Index 350.28 +.97%
  • iBoxx Offshore RMB China Corporate High Yield Index 123.39 +.02%
  • 2-Year Swap Spread 6.5 -.25 basis point
  • TED Spread 26.25 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -38.5 -.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.47 +.04%
  • 3-Month T-Bill Yield .25% +1.0 basis point
  • Yield Curve 128.0 -2.0 basis points
  • China Import Iron Ore Spot $39.18/Metric Tonne -.46%
  • Citi US Economic Surprise Index -23.0 -.8 point
  • Citi Eurozone Economic Surprise Index 20.4 +.9 point
  • Citi Emerging Markets Economic Surprise Index 18.80 +2.4 basis points
  • 10-Year TIPS Spread 1.50 -1.0 basis points
  • # of Months to 1st Fed Rate Hike(Morgan Stanley) .92 n/a
Overseas Futures:
  • Nikkei 225 Futures: Indicating +310 open in Japan 
  • China A50 Futures: Indicating -164 open in China
  • DAX Futures: Indicating +120 open in Germany
Portfolio: 
  • Higher: On gains in my biotech/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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