Wednesday, February 24, 2016

Stocks Reversing Higher into Final Hour on on China Stimulus Hopes, Oil Reversal, Short-Covering, Tech/Telecom Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Slightly Higher
  • Sector Performance: Mixed
  • Volume: Slightly Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 21.05 +.33%
  • Euro/Yen Carry Return Index 128.62 -.36%
  • Emerging Markets Currency Volatility(VXY) 12.29 +.24%
  • S&P 500 Implied Correlation 62.87 -.62%
  • ISE Sentiment Index 89.0 +27.14%
  • Total Put/Call 1.03 -8.04%
  • NYSE Arms 1.56 -15.96
Credit Investor Angst:
  • North American Investment Grade CDS Index 116.25 +.22%
  • America Energy Sector High-Yield CDS Index 2,339.0 +2.67%
  • European Financial Sector CDS Index 122.88 +4.57%
  • Western Europe Sovereign Debt CDS Index 32.83 +1.77%
  • Asia Pacific Sovereign Debt CDS Index 77.99 -1.38%
  • Emerging Market CDS Index 367.32 -.57%
  • iBoxx Offshore RMB China Corporate High Yield Index 123.70 +.15%
  • 2-Year Swap Spread 4.75 -1.0 basis point
  • TED Spread 30.5 -.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -24.0 +.75 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 68.54 -.14%
  • 3-Month T-Bill Yield .33% +1.0 basis point
  • Yield Curve 99.0 -1.0 basis point
  • China Import Iron Ore Spot $51.64/Metric Tonne +.08%
  • Citi US Economic Surprise Index -38.60 -2.7 points
  • Citi Eurozone Economic Surprise Index -54.30 +1.3 points
  • Citi Emerging Markets Economic Surprise Index -8.70 -.5 point
  • 10-Year TIPS Spread 1.37% +4.0 basis points
  • 15.4% chance of Fed rate hike at April 27 meeting, 25.5% chance at June 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -25 open in Japan 
  • China A50 Futures: Indicating -34 open in China
  • DAX Futures: Indicating +92 open in Germany
Portfolio: 
  • Higher: On gains in my tech/biotech/medical/retail sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges 
  • Market Exposure: Moved to 50% Net Long

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