Tuesday, September 20, 2016

Stocks Slightly Higher into Final Hour on Buyout Speculation, Oil Bounce, Technical Buying, Biotech/Restaurant Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Slightly Lower
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 15.88 +2.25%
  • Euro/Yen Carry Return Index 118.65 -.22%
  • Emerging Markets Currency Volatility(VXY) 10.65 -1.75%
  • S&P 500 Implied Correlation 54.40 +3.54%
  • ISE Sentiment Index 58.0 -23.68%
  • Total Put/Call 1.02 +29.11%
  • NYSE Arms 1.16 -9.09
Credit Investor Angst:
  • North American Investment Grade CDS Index 80.95 +8.38% (new series)
  • America Energy Sector High-Yield CDS Index 672.0 -1.84%
  • European Financial Sector CDS Index 102.70 +10.93%
  • Western Europe Sovereign Debt CDS Index 21.90 -12.73%
  • Asia Pacific Sovereign Debt CDS Index 31.57 -16.27%
  • Emerging Market CDS Index 241.94 -4.19%
  • iBoxx Offshore RMB China Corporate High Yield Index 131.66 +.04%
  • 2-Year Swap Spread 26.0 +.75 basis point
  • TED Spread 56.25 -1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -33.25 -.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.39 +.03%
  • 3-Month T-Bill Yield .29% +4.0 basis points
  • Yield Curve 91.0 -1.0 basis point
  • China Import Iron Ore Spot $55.77/Metric Tonne +.16%
  • Citi US Economic Surprise Index -1.70 -5.0 points
  • Citi Eurozone Economic Surprise Index -24.90 -.5 point
  • Citi Emerging Markets Economic Surprise Index -15.2 -.1 point
  • 10-Year TIPS Spread 1.5% -2.0 basis points
  • 28.7% chance of Fed rate hike at Nov. 2 meeting, 58.2% chance at Dec. 14 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -67 open in Japan 
  • China A50 Futures: Indicating +50 open in China
  • DAX Futures: Indicating -3 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my biotech/medical/tech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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