Tuesday, April 12, 2016

Stocks Surging into Final Hour on Central Bank Hopes, Oil Bounce, Yen Weakness, Commodity/Financial Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Slightly Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 15.09 -7.3%
  • Euro/Yen Carry Return Index 129.25 +.4%
  • Emerging Markets Currency Volatility(VXY) 11.5 -1.88%
  • S&P 500 Implied Correlation 56.95 -4.9%
  • ISE Sentiment Index 67.0 -30.21%
  • Total Put/Call .93 +8.14%
  • NYSE Arms .60 -35.92
Credit Investor Angst:
  • North American Investment Grade CDS Index 80.11 -1.40%
  • America Energy Sector High-Yield CDS Index 1,418.0 -2.41%
  • European Financial Sector CDS Index 98.64 -1.33%
  • Western Europe Sovereign Debt CDS Index 27.75 -1.51%
  • Asia Pacific Sovereign Debt CDS Index 57.84 -1.52%
  • Emerging Market CDS Index 295.0 -2.89%
  • iBoxx Offshore RMB China Corporate High Yield Index 127.28 +.04%
  • 2-Year Swap Spread 13.0 -1.75 basis points
  • TED Spread 41.75 +1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -23.5 -1.5 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.95 +.35%
  • 3-Month T-Bill Yield .21% -1.0 basis point
  • Yield Curve 105.0 +2.0 basis points
  • China Import Iron Ore Spot $59.22/Metric Tonne +4.59%
  • Citi US Economic Surprise Index -3.80 -.3 point
  • Citi Eurozone Economic Surprise Index -26.60 +.9 point
  • Citi Emerging Markets Economic Surprise Index 12.7 +3.6 points
  • 10-Year TIPS Spread 1.57% -1.0 basis point
  • 17.6% chance of Fed rate hike at June 15 meeting, 28.9% chance at July 27 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +227 open in Japan 
  • China A50 Futures: Indicating +49 open in China
  • DAX Futures: Indicating +59 open in Germany
Portfolio: 
  • Higher: On gains in my biotech/medical/tech/retail sector longs
  • Disclosed Trades: Covered some of  my (IWM)/(QQQ) hedges and some of my (EEM) short
  • Market Exposure: Moved to 50% Net Long

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