Wednesday, June 22, 2016

Stocks Slightly Higher into Final Hour on Diminished Brexit Fears, Less European/Emerging Markets/US High-Yield Debt Angst, Technical Buying, Biotech/Healthcare Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Mixed
  • Volume: Light
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 19.78 +7.03%
  • Euro/Yen Carry Return Index 123.27 +.14%
  • Emerging Markets Currency Volatility(VXY) 10.63 +.38%
  • S&P 500 Implied Correlation 58.32 +.47%
  • ISE Sentiment Index 111.0 -11.9%
  • Total Put/Call .93 -7.92%
  • NYSE Arms .90 +11.79
Credit Investor Angst:
  • North American Investment Grade CDS Index 79.01 +.67%
  • America Energy Sector High-Yield CDS Index 779.0 -1.1%
  • European Financial Sector CDS Index 99.0 -4.7%
  • Western Europe Sovereign Debt CDS Index 28.92 -1.0%
  • Asia Pacific Sovereign Debt CDS Index 51.57 -1.15%
  • Emerging Market CDS Index 281.82 -.74%
  • iBoxx Offshore RMB China Corporate High Yield Index 129.93 +.20%
  • 2-Year Swap Spread 13.0 unch.
  • TED Spread 37.75 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -39.0 -4.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.43 +.34%
  • 3-Month T-Bill Yield .27% unch.
  • Yield Curve 94.0 unch.
  • China Import Iron Ore Spot $52.29/Metric Tonne +2.79%
  • Citi US Economic Surprise Index -16.0 unch.
  • Citi Eurozone Economic Surprise Index -1.30 -.1 point
  • Citi Emerging Markets Economic Surprise Index -5.8 -.5 point
  • 10-Year TIPS Spread 1.48% +1.0 basis point
  • 24.8% chance of Fed rate hike at Sept. 21 meeting, 28.0% chance at Nov. 2 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -10 open in Japan 
  • China A50 Futures: Indicating -45 open in China
  • DAX Futures: Indicating -4 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my biotech/medical sector longs 
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

No comments: