Tuesday, December 29, 2015

Stocks Surging into Final Hour on Less Emerging Markets/US High-Yield Debt Angst, Oil Bounce, Seasonality, Tech/Biotech Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Light
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 16.20 -4.20%
  • Euro/Yen Carry Return Index 137.61 -.29%
  • Emerging Markets Currency Volatility(VXY) 11.35 +.71%
  • S&P 500 Implied Correlation 56.44 -1.96%
  • ISE Sentiment Index 72.0 -15.29%
  • Total Put/Call .82 -36.92%
  • NYSE Arms .77 -54.28% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 89.06 -2.32%
  • America Energy Sector High-Yield CDS Index 1,710.0 +1.29%
  • European Financial Sector CDS Index 75.53 +4.81%
  • Western Europe Sovereign Debt CDS Index 17.06 -.87%
  • Asia Pacific Sovereign Debt CDS Index 72.03 -.06%
  • Emerging Market CDS Index 353.28 -1.29%
  • iBoxx Offshore RMB China Corporate High Yield Index 123.76 unch.
  • 2-Year Swap Spread 8.25 -4.0 basis points
  • TED Spread 37.5 -3.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -22.5 +3.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.58 -.13%
  • 3-Month T-Bill Yield .20% unch.
  • Yield Curve 122.0 +1.0 basis point
  • China Import Iron Ore Spot $42.31/Metric Tonne +2.45%
  • Citi US Economic Surprise Index -28.7 +2.5 points
  • Citi Eurozone Economic Surprise Index 14.2 +.3 point
  • Citi Emerging Markets Economic Surprise Index 14.80 -1.1 points
  • 10-Year TIPS Spread 1.56% +3.0 basis points
  • 54.5% chance of next Fed rate hike at March 16 meeting, 61.4% chance at April 27 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +197 open in Japan 
  • China A50 Futures: Indicating -11 open in China
  • DAX Futures: Indicating +17 open in Germany
Portfolio: 
  • Higher: On gains in my retail/biotech/medical/tech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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