Monday, September 12, 2016

Stocks Surging into Final Hour on Diminished Fed Rate-Hike Fears, Short-Covering, Oil Bounce, Metals & Mining/Biotech Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 15.30 -12.46%
  • Euro/Yen Carry Return Index 119.56 -.76%
  • Emerging Markets Currency Volatility(VXY) 10.44 +3.67%
  • S&P 500 Implied Correlation 49.36-12.83%
  • ISE Sentiment Index 75.0 +5.63%
  • Total Put/Call 1.01 -13.56%
  • NYSE Arms .34 -79.09
Credit Investor Angst:
  • North American Investment Grade CDS Index 73.14 -3.56%
  • America Energy Sector High-Yield CDS Index 671.0 +1.14%
  • European Financial Sector CDS Index 90.43 +1.93%
  • Western Europe Sovereign Debt CDS Index 24.96 +1.30%
  • Asia Pacific Sovereign Debt CDS Index 38.07 -.56%
  • Emerging Market CDS Index 249.56 +4.72%
  • iBoxx Offshore RMB China Corporate High Yield Index 131.72 +.06%
  • 2-Year Swap Spread 25.25 -1.0 basis point
  • TED Spread 51.75 +2.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -26.50 +2.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.57 -.09%
  • 3-Month T-Bill Yield .36% +2.0 basis points
  • Yield Curve 89.0 unch.
  • China Import Iron Ore Spot $57.78/Metric Tonne n/a
  • Citi US Economic Surprise Index -4.9 unch.
  • Citi Eurozone Economic Surprise Index -19.9 -1.2 points
  • Citi Emerging Markets Economic Surprise Index -16.8 -5.2 points
  • 10-Year TIPS Spread 1.51% unch.
  • 26.9% chance of Fed rate hike at Nov. 2 meeting, 57.2% chance at Dec. 14 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +4 open in Japan 
  • China A50 Futures: Indicating +7 open in China
  • DAX Futures: Indicating +87 open in Germany
Portfolio: 
  • Higher: On gains in my biotech/medical/tech/retail
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added some back
  • Market Exposure: Moved to 50% Net Long

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