Wednesday, September 28, 2016

Stocks Rising into Final Hour on Less US High-Yield Debt Angst, Oil Bounce, Yen Weakness, Energy/Metals & Mining Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 12.37 -5.57%
  • Euro/Yen Carry Return Index 117.90 +.22%
  • Emerging Markets Currency Volatility(VXY) 10.11 -.39%
  • S&P 500 Implied Correlation 43.07 -6.17%
  • ISE Sentiment Index 80.0 +19.4%
  • Total Put/Call .87 -11.22%
  • NYSE Arms .70 -36.23
Credit Investor Angst:
  • North American Investment Grade CDS Index 75.50 -2.46%
  • America Energy Sector High-Yield CDS Index 676.0 -1.66%
  • European Financial Sector CDS Index 101.50 -.55%
  • Western Europe Sovereign Debt CDS Index 24.65 +.43%
  • Asia Pacific Sovereign Debt CDS Index 31.65 -1.85%
  • Emerging Market CDS Index 234.81 +.04%
  • iBoxx Offshore RMB China Corporate High Yield Index 132.15 +.05%
  • 2-Year Swap Spread 24.0 -1.5 basis points
  • TED Spread 59.5 -2.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -41.75 +.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 73.06 -.07%
  • 3-Month T-Bill Yield .27% +2.0 basis points
  • Yield Curve 81.0 unch.
  • China Import Iron Ore Spot $56.48/Metric Tonne -.25%
  • Citi US Economic Surprise Index -5.10 +.1 point
  • Citi Eurozone Economic Surprise Index -10.40 +.3 point
  • Citi Emerging Markets Economic Surprise Index -10.8 +.9 point
  • 10-Year TIPS Spread 1.58% +4.0 basis points
  • 54.3% chance of Fed rate hike at Dec. 14 meeting, 57.2% chance at Feb. 1 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +90 open in Japan 
  • China A50 Futures: Indicating +31 open in China
  • DAX Futures: Indicating +53 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my biotech sector longs, 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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