Friday, July 01, 2016

Stocks Rising into Afternoon on Central Bank Hopes, Less European/Emerging Markets/US High-Yield Debt Angst, Short-Covering, Metal & Mining/Biotech Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 14.86 -4.93%
  • Euro/Yen Carry Return Index 119.32 +.34%
  • Emerging Markets Currency Volatility(VXY) 10.16 -1.84%
  • S&P 500 Implied Correlation 54.11 -2.04%
  • ISE Sentiment Index 118.0 +66.20%
  • Total Put/Call 1.02 -16.39%
  • NYSE Arms 1.09 +3.91
Credit Investor Angst:
  • North American Investment Grade CDS Index 74.32 -7.34%
  • America Energy Sector High-Yield CDS Index 774.0 -3.45%
  • European Financial Sector CDS Index 105.50 -5.73%
  • Western Europe Sovereign Debt CDS Index 31.01 -3.40%
  • Asia Pacific Sovereign Debt CDS Index 52.07 -2.38%
  • Emerging Market CDS Index 267.35 -.64%
  • iBoxx Offshore RMB China Corporate High Yield Index 130.24 +.05%
  • 2-Year Swap Spread 16.0 +1.0 basis point
  • TED Spread 38.75 +1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -38.5 +2.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.64 +.12%
  • 3-Month T-Bill Yield .25% -1.0 basis point
  • Yield Curve 86.0 -4.0 basis points
  • China Import Iron Ore Spot $54.33/Metric Tonne -2.39%
  • Citi US Economic Surprise Index -14.3 +5.3 points
  • Citi Eurozone Economic Surprise Index 9.2 +4.2 points
  • Citi Emerging Markets Economic Surprise Index -13.20 -6.0 points
  • 10-Year TIPS Spread 1.47% +3.0 basis points
  • 2.0% chance of Fed rate hike at Sept. 21 meeting, 2.0% chance at Nov. 2 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -47 open in Japan 
  • China A50 Futures: Indicating -38 open in China
  • DAX Futures: Indicating -35 open in Germany
Portfolio: 
  • Higher: On gains in my retail/tech/medical/biotech sector longs
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

No comments: