Tuesday, June 21, 2016

Stocks Slightly Higher into Final Hour on Diminishing Brexit Fears, Yen Weakness, Technical Buying, Telecom/Energy Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 17.01 -2.5%
  • Euro/Yen Carry Return Index 123.26 +.31%
  • Emerging Markets Currency Volatility(VXY) 10.50 -.57%
  • S&P 500 Implied Correlation 57.17 +.21%
  • ISE Sentiment Index 163.0 +59.8%
  • Total Put/Call 1.01 +4.12%
  • NYSE Arms .75 -9.14
Credit Investor Angst:
  • North American Investment Grade CDS Index 79.0 -1.40%
  • America Energy Sector High-Yield CDS Index 781.0 -1.7%
  • European Financial Sector CDS Index 103.88 +1.56%
  • Western Europe Sovereign Debt CDS Index 28.92 +.82%
  • Asia Pacific Sovereign Debt CDS Index 52.51 +.67%
  • Emerging Market CDS Index 284.89 -1.04%
  • iBoxx Offshore RMB China Corporate High Yield Index 129.67 +.05%
  • 2-Year Swap Spread 13.0 -1.25 basis points
  • TED Spread 37.5 -2.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -34.75 +2.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.23 +.05%
  • 3-Month T-Bill Yield .27% +1.0 basis point
  • Yield Curve 94.0 unch.
  • China Import Iron Ore Spot $50.87/Metric Tonne -.37%
  • Citi US Economic Surprise Index -16.0 +1.2 points
  • Citi Eurozone Economic Surprise Index -1.20 +7.4 points
  • Citi Emerging Markets Economic Surprise Index -5.3 -.4 point
  • 10-Year TIPS Spread 1.47% +1.0 basis point
  • 31.6% chance of Fed rate hike at Sept. 21 meeting, 33.1% chance at Nov. 2 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +146 open in Japan 
  • China A50 Futures: Indicating -43 open in China
  • DAX Futures: Indicating +81 open in Germany
Portfolio: 
  • Lower: On losses in my biotech/retail sector longs and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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