Friday, February 12, 2016

Stocks Rising into Afternoon on Less Eurozone/Emerging Markets/US High-Yield Debt Angst, Yen Weakness, Oil Bounce, Commodity/Bank Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Slightly Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 26.04 -7.39%
  • Euro/Yen Carry Return Index 133.25 +.17%
  • Emerging Markets Currency Volatility(VXY) 13.39 +.90%
  • S&P 500 Implied Correlation 65.20 +1.10%
  • ISE Sentiment Index 134.0 +78.67%
  • Total Put/Call .89 -6.32%
  • NYSE Arms .75 -21.30
Credit Investor Angst:
  • North American Investment Grade CDS Index 123.16 -1.21%
  • America Energy Sector High-Yield CDS Index 2,371.0 +4.07%
  • European Financial Sector CDS Index 127.33 -8.48%
  • Western Europe Sovereign Debt CDS Index 32.51 -8.50%
  • Asia Pacific Sovereign Debt CDS Index 83.47 -3.54%
  • Emerging Market CDS Index 397.77 -3.86%
  • iBoxx Offshore RMB China Corporate High Yield Index 122.72 +.07%
  • 2-Year Swap Spread 7.75 +1.75 basis points
  • TED Spread 33.75 +2.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -22.25 +2.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 68.37 +.26%
  • 3-Month T-Bill Yield .28% unch.
  • Yield Curve 106.0 +7.0 basis points
  • China Import Iron Ore Spot $43.65/Metric Tonne -3.54%
  • Citi US Economic Surprise Index -48.3 unch.
  • Citi Eurozone Economic Surprise Index -31.80 +2.3 points
  • Citi Emerging Markets Economic Surprise Index -4.80 -.7 point
  • 10-Year TIPS Spread 1.27% +7.0 basis points
  • 3.9% chance of Fed rate hike at April 27 meeting, 7.7% chance at June 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +523 open in Japan 
  • China A50 Futures: Indicating n/a open in China
  • DAX Futures: Indicating -29 open in Germany
Portfolio: 
  • Higher: On gains in my tech/biotech/medical/retail sector longs
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

1 comment:

Michael Haltman said...

My thoughts on the global economy this morning:

Are The EU PIIGS About To Start Squealing?

As the migrant crisis in Europe worsens serious steps to address it are being considered.

One proposal is for passports to be required in order to cross from one EU country to another.

Would such a drastic move spell the beginning of the end for the Eurozone as a viable entity?

And if so what will happen to the piles of sovereign debt that's been issued by the economically vulnerable EU PIIGS, and to the investors who have been pouring money into them at what appear to be ridiculously low yields?

Read the story and check out the historical yield chart at the article 'EU PIIGS: Are These 10-Year Sovereign Bond Yields Either Warranted Or Sustainable?' here: https://www.linkedin.com/pulse/eu-piigs-10-year-sovereign-bond-yields-either-michael-haltman?trk=prof-post

Mike