Thursday, February 25, 2016

Stocks Reversing Higher into Final Hour on Oil Reversal, Yen Weakness, Less European/Emerging Markets/US High-Yield Debt Angst, Homebuilding/REIT Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Slightly Higher
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 19.92 -3.86%
  • Euro/Yen Carry Return Index 130.21 +.84%
  • Emerging Markets Currency Volatility(VXY) 12.15 -1.22%
  • S&P 500 Implied Correlation 60.17 -3.51%
  • ISE Sentiment Index 144.0 +61.80%
  • Total Put/Call .87 -16.35%
  • NYSE Arms 1.0 -27.78
Credit Investor Angst:
  • North American Investment Grade CDS Index 113.04 -.85%
  • America Energy Sector High-Yield CDS Index 2,303.0 -1.18%
  • European Financial Sector CDS Index 121.22 -1.35%
  • Western Europe Sovereign Debt CDS Index 32.82 +.06%
  • Asia Pacific Sovereign Debt CDS Index 76.82 -1.11%
  • Emerging Market CDS Index 364.82 -.33%
  • iBoxx Offshore RMB China Corporate High Yield Index 123.81 +.09%
  • 2-Year Swap Spread 5.0 +.25 basis point
  • TED Spread 31.0 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -23.25 +.75 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 68.71 +.26%
  • 3-Month T-Bill Yield .32% -1.0 basis point
  • Yield Curve 98.0 -1.0 basis point
  • China Import Iron Ore Spot $49.75/Metric Tonne -3.66%
  • Citi US Economic Surprise Index -30.70 +7.9 points
  • Citi Eurozone Economic Surprise Index -53.30 +1.0 point
  • Citi Emerging Markets Economic Surprise Index -9.10 -.4 point
  • 10-Year TIPS Spread 1.40% +3.0 basis points
  • 17.2% chance of Fed rate hike at April 27 meeting, 23.8% chance at June 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +25 open in Japan 
  • China A50 Futures: Indicating +21 open in China
  • DAX Futures: Indicating +21 open in Germany
Portfolio: 
  • Higher: On gains in my tech/medical/retail sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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