Tuesday, February 16, 2016

Stocks Surging into Final Hour on Central Bank Hopes, Less Eurozone/Emerging Markets/US High-Yield Debt Angst, Short-Covering, Retail/Transport Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Around Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 22.24 -4.57%
  • Euro/Yen Carry Return Index 132.66 -.71%
  • Emerging Markets Currency Volatility(VXY) 12.85 -1.0%
  • S&P 500 Implied Correlation 63.83 -2.37%
  • ISE Sentiment Index 173.0 +53.10%
  • Total Put/Call .88 -2.22%
  • NYSE Arms .96 +57.98
Credit Investor Angst:
  • North American Investment Grade CDS Index 121.01 -.37%
  • America Energy Sector High-Yield CDS Index 2,346.0 -.55%
  • European Financial Sector CDS Index 122.25 +.72%
  • Western Europe Sovereign Debt CDS Index 33.40 +1.95%
  • Asia Pacific Sovereign Debt CDS Index 79.03 -.43%
  • Emerging Market CDS Index 3879.84 -1.98%
  • iBoxx Offshore RMB China Corporate High Yield Index 123.06 +.15%
  • 2-Year Swap Spread 5.5 -2.25 basis points
  • TED Spread 33.75 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -22.75 -.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 68.10 -.63%
  • 3-Month T-Bill Yield .28% unch.
  • Yield Curve 106.0 unch.
  • China Import Iron Ore Spot $46.78/Metric Tonne +1.12%
  • Citi US Economic Surprise Index -46.9 +1.4 points
  • Citi Eurozone Economic Surprise Index -30.80 +1.0 point
  • Citi Emerging Markets Economic Surprise Index -7.0 -2.2 points
  • 10-Year TIPS Spread 1.26% -1.0 basis point
  • 5.9% chance of Fed rate hike at April 27 meeting, 11.6% chance at June 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -174 open in Japan 
  • China A50 Futures: Indicating -73 open in China
  • DAX Futures: Indicating +29 open in Germany
Portfolio: 
  • Higher: On gains in my tech/biotech/medical/retail sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my (EEM) short
  • Market Exposure: Moved to 75% Net Long

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