Tuesday, March 01, 2016

Stocks Surging into Final Hour on Central Bank Hopes, Less Eurozone/Emerging Markets/US High-Yield Debt Angst, Yen Weakness, Financial/Tech Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 17.9 -12.56%
  • Euro/Yen Carry Return Index 129.44 +1.03%
  • Emerging Markets Currency Volatility(VXY) 11.64 -2.84%
  • S&P 500 Implied Correlation 58.71 -4.49%
  • ISE Sentiment Index 86.0 -28.93%
  • Total Put/Call .85 -29.17%
  • NYSE Arms 1.27 -5.56
Credit Investor Angst:
  • North American Investment Grade CDS Index 102.06 -5.07%
  • America Energy Sector High-Yield CDS Index 2,327.0 -4.94%
  • European Financial Sector CDS Index 103.13 -4.43%
  • Western Europe Sovereign Debt CDS Index 32.83 -4.03%
  • Asia Pacific Sovereign Debt CDS Index 73.09 -2.03%
  • Emerging Market CDS Index 355.67 -3.62%
  • iBoxx Offshore RMB China Corporate High Yield Index 123.99 unch.
  • 2-Year Swap Spread 4.0 -1.0 basis point
  • TED Spread 31.50 -1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -30.25 -.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.03 +.90%
  • 3-Month T-Bill Yield .32% unch.
  • Yield Curve 98.0 +2.0 basis points
  • China Import Iron Ore Spot $51.44/Metric Tonne +3.67%
  • Citi US Economic Surprise Index -12.70 +6.7 points
  • Citi Eurozone Economic Surprise Index -67.70 +3.2 points
  • Citi Emerging Markets Economic Surprise Index -8.80 +.1 point
  • 10-Year TIPS Spread 1.49% +4.0 basis points
  • 22.6% chance of Fed rate hike at April 27 meeting, 38.0% chance at June 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +495 open in Japan 
  • China A50 Futures: Indicating +45 open in China
  • DAX Futures: Indicating +51 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my index hedges and emerging market shorts
  • 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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