Wednesday, February 10, 2016

Stocks Higher into Afternoon on Less Eurozone Debt Angst, Central Bank Hopes, Bargain-Hunting, Healthcare/Gaming 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) 25.33 -4.56%
  • Euro/Yen Carry Return Index 134.23 -1.24%
  • Emerging Markets Currency Volatility(VXY) 12.88 -.92%
  • S&P 500 Implied Correlation 63.48 -.11%
  • ISE Sentiment Index 82.0 +32.26%
  • Total Put/Call 1.08 +18.68%
  • NYSE Arms 1.51 +89.43
Credit Investor Angst:
  • North American Investment Grade CDS Index 119.44 -.3%
  • America Energy Sector High-Yield CDS Index 2,264.0 +.89%
  • European Financial Sector CDS Index 127.75 -4.35%
  • Western Europe Sovereign Debt CDS Index 30.24 -2.29%
  • Asia Pacific Sovereign Debt CDS Index 83.23 -2.74%
  • Emerging Market CDS Index 398.47 +1.22%
  • iBoxx Offshore RMB China Corporate High Yield Index 122.95 +.02%
  • 2-Year Swap Spread 4.75 -2.25 basis points
  • TED Spread 31.50 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -24.0 +1.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 68.54 +.37%
  • 3-Month T-Bill Yield .31% +2.0 basis points
  • Yield Curve 100.0 -4.0 basis points
  • China Import Iron Ore Spot $45.73/Metric Tonne n/a
  • Citi US Economic Surprise Index -51.6 +1.0 point
  • Citi Eurozone Economic Surprise Index -31.30 -4.3 points
  • Citi Emerging Markets Economic Surprise Index -5.60 -.3 point
  • 10-Year TIPS Spread 1.21% +1.0 basis point
  • 5.9% chance of Fed rate hike at April 27 meeting, 15.3% chance at June 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +62 open in Japan 
  • China A50 Futures: Indicating n/a open in China
  • DAX Futures: Indicating -5 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my index hedges and emerging markets shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
  • Market Exposure: 25% Net Long

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