Friday, October 14, 2016

Stocks Higher into Afternoon on Central Bank Hopes, Less European Debt Angst, Yen Weakness, Telecom/Financial Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Slightly Higher
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 16.16 -3.3%
  • Euro/Yen Carry Return Index 119.38 -.31%
  • Emerging Markets Currency Volatility(VXY) 10.18 -1.64%
  • S&P 500 Implied Correlation 49.12 +.14%
  • ISE Sentiment Index 83.0 +27.69%
  • Total Put/Call .83 -16.16%
  • NYSE Arms 1.15 +26.68
Credit Investor Angst:
  • North American Investment Grade CDS Index 75.48 -.47%
  • America Energy Sector High-Yield CDS Index 599.0 -.44%
  • European Financial Sector CDS Index 98.60 -2.27%
  • Western Europe Sovereign Debt CDS Index 20.67 -1.38%
  • Asia Pacific Sovereign Debt CDS Index 34.14 -1.14%
  • Emerging Market CDS Index 241.90 +2.14%
  • iBoxx Offshore RMB China Corporate High Yield Index 132.30 -.05%
  • 2-Year Swap Spread 22.0 -1.0 basis point
  • TED Spread 59.75 +6.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -44.0 -1.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.20 -.03%
  • 3-Month T-Bill Yield .28% unch.
  • Yield Curve 94.0 +4.0 basis points
  • China Import Iron Ore Spot $57.28/Metric Tonne +1.08%
  • Citi US Economic Surprise Index -7.60 -1.0 point
  • Citi Eurozone Economic Surprise Index 22.5 -.1 point
  • Citi Emerging Markets Economic Surprise Index -18.90 -1.2 points
  • 10-Year TIPS Spread 1.64% -1.0 basis point
  • 65.2% chance of Fed rate hike at Dec. 14 meeting, 68.0% chance at Feb. 1 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +39 open in Japan 
  • China A50 Futures: Indicating +38 open in China
  • DAX Futures: Indicating -3 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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