Monday, February 22, 2016

Stocks Surging into Afternoon on Central Bank Hopes, Oil Bounce, Buyout Speculation, Commodity/Healthcare Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Declining
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 19.10 -6.97%
  • Euro/Yen Carry Return Index 130.14 -.60%
  • Emerging Markets Currency Volatility(VXY) 12.29 -1.84%
  • S&P 500 Implied Correlation 61.05 -1.94%
  • ISE Sentiment Index 89.0 -19.09%
  • Total Put/Call .95 -7.77%
  • NYSE Arms .47 -74.29% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 114.29 -2.96%
  • America Energy Sector High-Yield CDS Index 2,350.0 +3.19%
  • European Financial Sector CDS Index 115.96 -4.36%
  • Western Europe Sovereign Debt CDS Index 32.77 +.34%
  • Asia Pacific Sovereign Debt CDS Index 77.05 -1.90%
  • Emerging Market CDS Index 365.04 -3.28%
  • iBoxx Offshore RMB China Corporate High Yield Index 123.38 +.08%
  • 2-Year Swap Spread 5.50 -.5 basis point
  • TED Spread 32.75 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -23.75 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 68.89 +.58%
  • 3-Month T-Bill Yield .30% +1.0 basis point
  • Yield Curve 100.0 -1.0 basis point
  • China Import Iron Ore Spot $51.52/Metric Tonne +6.18%
  • Citi US Economic Surprise Index -33.70 +3.3 points
  • Citi Eurozone Economic Surprise Index -51.70 -19.4 points
  • Citi Emerging Markets Economic Surprise Index -8.30 -1.3 points
  • 10-Year TIPS Spread 1.31% +5.0 basis points
  • 13.5% chance of Fed rate hike at April 27 meeting, 25.6% chance at June 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +79 open in Japan 
  • China A50 Futures: Indicating +78 open in China
  • DAX Futures: Indicating -10 open in Germany
Portfolio: 
  • Higher: On gains in my biotech/medical/tech/retail sector longs
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

No comments: