Monday, June 20, 2016

Stocks Surging into Final Hour on Diminished Brexit Fears, Less European/Emerging Markets/US High-Yield Debt Angst, Oil Gain, Construction/I-Banking Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 17.49 -9.89%
  • Euro/Yen Carry Return Index 122.84 +.1%
  • Emerging Markets Currency Volatility(VXY) 10.53 -2.41%
  • S&P 500 Implied Correlation 55.67 -5.86%
  • ISE Sentiment Index 123.0 +4.24%
  • Total Put/Call .95 -11.21%
  • NYSE Arms .72 -25.28
Credit Investor Angst:
  • North American Investment Grade CDS Index 80.12 -3.18%
  • America Energy Sector High-Yield CDS Index 793.0 -1.7%
  • European Financial Sector CDS Index 102.28 -8.33%
  • Western Europe Sovereign Debt CDS Index 28.65 -3.39%
  • Asia Pacific Sovereign Debt CDS Index 52.15 -2.94%
  • Emerging Market CDS Index 287.41 -4.47%
  • iBoxx Offshore RMB China Corporate High Yield Index 129.61 +.07%
  • 2-Year Swap Spread 14.25 -1.0 basis point
  • TED Spread 39.5 -.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -34.75 +2.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.20 +.59%
  • 3-Month T-Bill Yield .26% unch.
  • Yield Curve 94.0 +1.0 basis point
  • China Import Iron Ore Spot $51.06/Metric Tonne +.81%
  • Citi US Economic Surprise Index -17.20 +2.7 points
  • Citi Eurozone Economic Surprise Index -8.60 -2.8 points
  • Citi Emerging Markets Economic Surprise Index -4.9 -2.1 points
  • 10-Year TIPS Spread 1.46% +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 -35 open in Japan 
  • China A50 Futures: Indicating -14 open in China
  • DAX Futures: Indicating -23 open in Germany
Portfolio: 
  • Higher: On gains in my medical/biotech/tech/retail sector longs
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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