Wednesday, February 17, 2016

Stocks Surging into Final Hour on Central Bank Hopes, Oil Bounce, Less Emerging Market/US High-Yield Debt Angst, Energy/Healthcare 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) 22.5 -6.35%
  • Euro/Yen Carry Return Index 132.50 -.29%
  • Emerging Markets Currency Volatility(VXY) 12.74 -.86%
  • S&P 500 Implied Correlation 63.43 -.83%
  • ISE Sentiment Index 95.0 -43.45%
  • Total Put/Call 1.13 +21.51%
  • NYSE Arms .70 -7.78
Credit Investor Angst:
  • North American Investment Grade CDS Index 117.26 -3.43%
  • America Energy Sector High-Yield CDS Index 2,294.0 -1.72%
  • European Financial Sector CDS Index 113.0 -7.57%
  • Western Europe Sovereign Debt CDS Index 35.82 +7.2%
  • Asia Pacific Sovereign Debt CDS Index 77.75 -1.68%
  • Emerging Market CDS Index 379.42 -2.90%
  • iBoxx Offshore RMB China Corporate High Yield Index 123.10 +.03%
  • 2-Year Swap Spread 5.5 unch.
  • TED Spread 32.25 -1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -23.5 -.75 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 68.63 +.78%
  • 3-Month T-Bill Yield .30% +2.0 basis points
  • Yield Curve 107.0 +1.0 basis point
  • China Import Iron Ore Spot $46.35/Metric Tonne -.92%
  • Citi US Economic Surprise Index -47.4 -.5 point
  • Citi Eurozone Economic Surprise Index -31.10 -.2 point
  • Citi Emerging Markets Economic Surprise Index -9.1 -2.1 points
  • 10-Year TIPS Spread 1.29% +3.0 basis points
  • 9.8% chance of Fed rate hike at April 27 meeting, 18.8% chance at June 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +225 open in Japan 
  • China A50 Futures: Indicating +37 open in China
  • DAX Futures: Indicating +19 open in Germany
Portfolio: 
  • Higher: On gains in my tech/biotech/medical/retail sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
  • Market Exposure: 50% Net Long

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