Friday, February 26, 2016

Stocks Slightly Higher into Afternoon on Central Bank Hopes, Yen Weakness, Oil Bounce, Energy/Financial Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Gaining
  • Volume: Slightly Above Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 19.6 +2.6%
  • Euro/Yen Carry Return Index 129.98 -.12%
  • Emerging Markets Currency Volatility(VXY) 12.21 +.91%
  • S&P 500 Implied Correlation 59.90 +1.20%
  • ISE Sentiment Index 92.0 -22.69%
  • Total Put/Call 1.01 +9.78%
  • NYSE Arms .81 -13.68
Credit Investor Angst:
  • North American Investment Grade CDS Index 109.28 -2.91%
  • America Energy Sector High-Yield CDS Index 2,266.0 -1.72%
  • European Financial Sector CDS Index 112.11 -7.52%
  • Western Europe Sovereign Debt CDS Index 32.44 -1.23%
  • Asia Pacific Sovereign Debt CDS Index 75.76 -.47%
  • Emerging Market CDS Index 366.13 +.75%
  • iBoxx Offshore RMB China Corporate High Yield Index 123.89 +.06%
  • 2-Year Swap Spread 3.75 -1.25 basis points
  • TED Spread 31.50 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -26.25 -3.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 68.134 -.8%
  • 3-Month T-Bill Yield .31% -1.0 basis point
  • Yield Curve 96.0 -2.0 basis points
  • China Import Iron Ore Spot $48.29/Metric Tonne -2.93%
  • Citi US Economic Surprise Index -21.40 +9.3 points
  • Citi Eurozone Economic Surprise Index -60.40 -7.1 points
  • Citi Emerging Markets Economic Surprise Index -7.90 +1.2 points
  • 10-Year TIPS Spread 1.43% +3.0 basis points
  • 20.8% chance of Fed rate hike at April 27 meeting, 35.1% chance at June 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +217 open in Japan 
  • China A50 Futures: Indicating -4 open in China
  • DAX Futures: Indicating +9 open in Germany
Portfolio: 
  • Higher: On gains in my biotech/medical/retail sector longs and emerging market shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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