Tuesday, September 27, 2016

Stocks Rising into Final Hour on Diminished Political Uncertainty, Less Emerging Markets/US High-Yield Debt Angst, Technical Buying, Tech/Airline Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.22 -8.9%
  • Euro/Yen Carry Return Index 117.53 -.30%
  • Emerging Markets Currency Volatility(VXY) 10.14 -2.62%
  • S&P 500 Implied Correlation 46.50 -6.36%
  • ISE Sentiment Index 71.0 +39.2%
  • Total Put/Call .97 -15.65%
  • NYSE Arms 1.31 +10.3
Credit Investor Angst:
  • North American Investment Grade CDS Index 77.76 -1.78%
  • America Energy Sector High-Yield CDS Index 684.0 -.76%
  • European Financial Sector CDS Index 102.07 +2.62%
  • Western Europe Sovereign Debt CDS Index 24.54 +2.1%
  • Asia Pacific Sovereign Debt CDS Index 32.58 +.48%
  • Emerging Market CDS Index 235.26 -1.69%
  • iBoxx Offshore RMB China Corporate High Yield Index 132.08 +.04%
  • 2-Year Swap Spread 25.5 -.25 basis point
  • TED Spread 61.5 -7.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -42.0 -4.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 73.10 +.40%
  • 3-Month T-Bill Yield .25% +7.0 basis points
  • Yield Curve 81.0 -4.0 basis points
  • China Import Iron Ore Spot $56.63/Metric Tonne -.25%
  • Citi US Economic Surprise Index -5.20 +.2 point
  • Citi Eurozone Economic Surprise Index -10.70 -1.2 points
  • Citi Emerging Markets Economic Surprise Index -11.7 +2.1 points
  • 10-Year TIPS Spread 1.54% -2.0 basis points
  • 49.9% chance of Fed rate hike at Dec. 14 meeting, 53.0% chance at Feb. 1 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -193 open in Japan 
  • China A50 Futures: Indicating -29 open in China
  • DAX Futures: Indicating +21 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my index hedges and emerging markets shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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